Residential College | false |
Status | 已發表Published |
Adaptive CUSUM procedures with EWMA-based shift estimators | |
Jiang W.1; Shu L.2; Apley D.W.3 | |
2008 | |
Source Publication | IIE Transactions (Institute of Industrial Engineers) |
ISSN | 0740-817X |
Volume | 40Issue:10Pages:992-1003 |
Other Abstract | Adaptive Cumulative SUM charts (ACUSUM) have been recently proposed for providing an overall good detection over a range of mean shift sizes. The basic idea of the ACUSUM chart is to first adaptively update the reference value based on an Exponentially Weighted Moving Average (EWMA) estimate and then to assign a weight on it using a certain type of weighting function. A linear weighting function is proposed that is motivated by likelihood ratio testing concepts and that achieves superior detection performance. Moreover, in view of the lower efficiency in tracking relative large mean shifts of the EWMA estimate, a generalized EWMA estimate is proposed as an alternative. A comparison of run length performance of the proposed ACUSUM scheme and other control charts is shown to be favorable to the former. |
Keyword | Average Run Length Change-point Detection Ewma Markov Chain |
DOI | 10.1080/07408170801961412 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Engineering ; Operations Research & Management Science |
WOS Subject | Engineering, Industrial ; Operations Research & Management Science |
WOS ID | WOS:000258245800008 |
The Source to Article | Scopus |
Scopus ID | 2-s2.0-49249101687 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT |
Corresponding Author | Jiang W. |
Affiliation | 1.Department of Systems Engineering & Engineering Management, Stevens Institute of Technology, Hoboken, NJ 07030, USA 2.Faculty of Business Administration, University of Macau, Taipa, Macau 3.Department of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL 60208, USA |
Recommended Citation GB/T 7714 | Jiang W.,Shu L.,Apley D.W.. Adaptive CUSUM procedures with EWMA-based shift estimators[J]. IIE Transactions (Institute of Industrial Engineers), 2008, 40(10), 992-1003. |
APA | Jiang W.., Shu L.., & Apley D.W. (2008). Adaptive CUSUM procedures with EWMA-based shift estimators. IIE Transactions (Institute of Industrial Engineers), 40(10), 992-1003. |
MLA | Jiang W.,et al."Adaptive CUSUM procedures with EWMA-based shift estimators".IIE Transactions (Institute of Industrial Engineers) 40.10(2008):992-1003. |
Files in This Item: | There are no files associated with this item. |
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment