Year: 2023
Type: preprint
Abstract: In this paper, we not only propose an new optimal sequential test of sum of logarithmic likelihood ratio (SLR) but also present the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits (CUSUM-OAL) for monitoring quickly and adaptively the change in distribution of a sequential observations. Two limiting relationships between the optimal test and a series of the CUSUM-OAL tests are established. Moreover, we give the estimation of the in-control and the out-of-control average run lengths (ARLs) of the CUSUM-OAL test. The theoretical results are illustrated by numerical simulations in detecting mean shifts of the observations sequence.
Source: arXiv (Cornell University)
Authors: Tang, Fuquan, Han, Dong
Institution: Shanghai Jiao Tong University
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Award: G672148494
OpenAlex ID: W4323697306