Weighting Cusums for Increased Power Near the End Points

Christopher S. Withers and Saralees Nadarajah ()
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Christopher S. Withers: Industrial Research Limited
Saralees Nadarajah: University of Manchester

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 2, 379-405

Abstract: Abstract Cusum charts are widely used for detecting deviations of a process about a target value. They are also used in retrospective studies for finding evidence of change in the mean of a process. The testing theory approximates the process by a Wiener process or a Brownian Bridge, respectively. For quality control it is important that other aspects such as the variance be monitored as well as the mean. In this paper, we look at the behavior of statistics that weigh the cusums relevant to that aspect being monitored (for example, the variance) to increase the probability of detection of a change near the endpoints.

Keywords: Asymptotic tests; Cusums; Dependency; Weak convergence; Wiener process; Primary 62F04; Secondary 62E20 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11009-011-9249-4

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