{"title":"An optimization method for change-point monitoring in finite samples sequence","authors":"Dong Han, Fugee Tsung, Jinguo Xian","doi":"10.1080/02331888.2023.2258249","DOIUrl":null,"url":null,"abstract":"AbstractThis article proposes a method of optimizing control chart (sequential test) to detect an abnormal change in a sequence of finite or even small samples with the unknown change-point and the unknown post-change probability distribution. We not only introduced a performance measure for a given charting statistic to evaluate the detection effect of a control chart, but also constructed an optimal control chart under the measure. The effect of optimization method was illustrated by numerical simulations of three optimized Shewhart, CUSUM and EWMA control charts, and a real data example.Keywords: Optimization of control chartchange-point detectionfinite samplesMSC 2010 Subject Classifications: Primary 62L10secondary 62L15 AcknowledgmentsWe sincerely thank the two reviewers for their precious comments on the manuscript.Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingThis work is supported by RGC Competitive Earmarked Research Grants and National Natural Science Foundation of China (11531001).","PeriodicalId":54358,"journal":{"name":"Statistics","volume":"62 1","pages":"0"},"PeriodicalIF":1.2000,"publicationDate":"2023-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/02331888.2023.2258249","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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Abstract
AbstractThis article proposes a method of optimizing control chart (sequential test) to detect an abnormal change in a sequence of finite or even small samples with the unknown change-point and the unknown post-change probability distribution. We not only introduced a performance measure for a given charting statistic to evaluate the detection effect of a control chart, but also constructed an optimal control chart under the measure. The effect of optimization method was illustrated by numerical simulations of three optimized Shewhart, CUSUM and EWMA control charts, and a real data example.Keywords: Optimization of control chartchange-point detectionfinite samplesMSC 2010 Subject Classifications: Primary 62L10secondary 62L15 AcknowledgmentsWe sincerely thank the two reviewers for their precious comments on the manuscript.Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingThis work is supported by RGC Competitive Earmarked Research Grants and National Natural Science Foundation of China (11531001).
期刊介绍：
Statistics publishes papers developing and analysing new methods for any active field of statistics, motivated by real-life problems. Papers submitted for consideration should provide interesting and novel contributions to statistical theory and its applications with rigorous mathematical results and proofs. Moreover, numerical simulations and application to real data sets can improve the quality of papers, and should be included where appropriate. Statistics does not publish papers which represent mere application of existing procedures to case studies, and papers are required to contain methodological or theoretical innovation. Topics of interest include, for example, nonparametric statistics, time series, analysis of topological or functional data. Furthermore the journal also welcomes submissions in the field of theoretical econometrics and its links to mathematical statistics.
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