Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data

Aleksey S. Polunchenko and Vasanthan Raghavan

Applied Stochastic Models in Business and Industry, 2018, vol. 34, issue 6, 922-948

Abstract: We consider the problem of quickest changepoint detection where the observations form a first‐order autoregressive (AR(1)) process driven by temporally independent standard white Gaussian noise. Subject to possible change are both the drift of the AR(1) process (μ) and its correlation coefficient (λ), which are both known. The change is abrupt and persistent, and of known magnitude, with |λ|

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:34:y:2018:i:6:p:922-948

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