Adaptive CUSUM procedures with Markovian mean estimation

Lianjie Shu, Wei Jiang and Zhang Wu

Computational Statistics & Data Analysis, 2008, vol. 52, issue 9, 4395-4409

Abstract: This paper proposes using a Markovian-type mean estimating procedure in the conventional cumulative sum (CUSUM) control scheme to update its reference value in an adaptive way. This generalizes a class of Markovian adaptive CUSUM (ACUSUM) schemes to achieve the aim of providing an overall good performance over a range of future expected but unknown mean shifts. A two-dimensional Markov chain model is developed to analyze the run length performance of the new scheme. A comparison of run length performance of the proposed ACUSUM scheme and other control charts is shown favorable to the former.

Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-9473(08)00090-X
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:52:y:2008:i:9:p:4395-4409

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().