An optimization method for change-point monitoring in finite samples sequence

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).