Adaptive CUSUM procedures with EWMA-based shift estimators
Jiang W.1; Shu L.2; Apley D.W.3
Source PublicationIIE Transactions (Institute of Industrial Engineers)
Other Abstract

Adaptive Cumulative SUM charts (ACUSUM) have been recently proposed for providing an overall good detection over a range of mean shift sizes. The basic idea of the ACUSUM chart is to first adaptively update the reference value based on an Exponentially Weighted Moving Average (EWMA) estimate and then to assign a weight on it using a certain type of weighting function. A linear weighting function is proposed that is motivated by likelihood ratio testing concepts and that achieves superior detection performance. Moreover, in view of the lower efficiency in tracking relative large mean shifts of the EWMA estimate, a generalized EWMA estimate is proposed as an alternative. A comparison of run length performance of the proposed ACUSUM scheme and other control charts is shown to be favorable to the former.

KeywordAverage Run Length Change-point Detection Ewma Markov Chain
URLView the original
Indexed BySCIE
WOS Research AreaEngineering ; Operations Research & Management Science
WOS SubjectEngineering, Industrial ; Operations Research & Management Science
WOS IDWOS:000258245800008
The Source to ArticleScopus
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Cited Times [WOS]:79   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
Corresponding AuthorJiang W.
Affiliation1.Department of Systems Engineering & Engineering Management, Stevens Institute of Technology, Hoboken, NJ 07030, USA
2.Faculty of Business Administration, University of Macau, Taipa, Macau
3.Department of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL 60208, USA
Recommended Citation
GB/T 7714
Jiang W.,Shu L.,Apley D.W.. Adaptive CUSUM procedures with EWMA-based shift estimators[J]. IIE Transactions (Institute of Industrial Engineers),2008,40(10):992-1003.
APA Jiang W.,Shu L.,&Apley D.W..(2008).Adaptive CUSUM procedures with EWMA-based shift estimators.IIE Transactions (Institute of Industrial Engineers),40(10),992-1003.
MLA Jiang W.,et al."Adaptive CUSUM procedures with EWMA-based shift estimators".IIE Transactions (Institute of Industrial Engineers) 40.10(2008):992-1003.
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