The optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance change

Gideon Mensah Engmann and Dong Han

Journal of Applied Statistics, 2022, vol. 49, issue 6, 1540-1558

Abstract: This article considers the problem of jointly monitoring the mean and variance of a process by multi-chart schemes. Multi-chart is a combination of several single charts which detects changes in a process quickly. Asymptotic analyses and simulation studies show that the optimized CUSUM multi-chart has optimal performance than optimized EWMA multi-chart in jointly detecting mean and variance shifts in an $ i.i.d. $ i.i.d. normal observation. A real example that monitors the changes in IBM's stock returns (mean) and risks (variance) is used to demonstrate the performance of the above two multi-charts. The proposed method has been compared to a benchmark and it performed better.

Date: 2022
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DOI: 10.1080/02664763.2020.1870670

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