Sequential Analysis-Design Methods and Applications最新文献_第2页

Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test 用FMA试验顺序检测任意瞬态变化剖面

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-03-21 DOI: 10.1080/07474946.2023.2171056

Fatima Ezzahra Mana, Blaise Kévin Guépié, Igor Nikiforov

{"title":"Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test","authors":"Fatima Ezzahra Mana, Blaise Kévin Guépié, Igor Nikiforov","doi":"10.1080/07474946.2023.2171056","DOIUrl":"https://doi.org/10.1080/07474946.2023.2171056","url":null,"abstract":"Abstract This article addresses the sequential detection of transient changes by using the finite moving average (FMA) test. It is assumed that a change occurs at an unknown (but nonrandom) change point and the duration of postchange period is finite and known. We relax the assumption that the profile of a transient change is chosen so that the log-likelihood ratios of the observations are associated random variables (r.v.s) in the prechange mode. Hence, the profile of the transient change is arbitrary and it is not necessarily of constant sign for a distribution with monotone likelihood ratio. A new upper bound for the worst-case probability of false alarm is proposed. It is shown that the optimization of the window-limited cumulative sum (CUSUM) test again leads to the FMA test. Three particular transient changes are considered: in the Gaussian mean, in the Gaussian variance, and in the parameter of exponential distribution. In the first case, a comparison between the bounds for the FMA test operating characteristics and the exact operating characteristics calculated by numerical integration is used to estimate the sharpness of the bounds. In the second and third cases, special attention is paid to the calculation of the FMA distribution in the case of arbitrary profile. The method of convolution is used to solve the problem.","PeriodicalId":48879,"journal":{"name":"Sequential Analysis-Design Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46063624","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

On the exact constants in one-sided maximal inequalities for Bessel processes 关于贝塞尔过程单侧极大不等式的精确常数

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-01-02 DOI: 10.1080/07474946.2022.2150778

C. Makasu

引用次数: 1

Asymptotic optimality of a robust two-stage procedure in multivariate Bayes sequential estimation 多元贝叶斯序列估计中稳健两阶段过程的渐近最优性

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-01-02 DOI: 10.1080/07474946.2022.2154364

Leng-Cheng Hwang

引用次数: 0

A restricted subset selection procedure for selecting the largest normal mean under heteroscedasticity 异方差条件下选择最大正态均值的一个受限子集选择过程

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-01-02 DOI: 10.1080/07474946.2022.2159042

Elena M. Buzaianu, Pinyuen Chen, Lifang Hsu

引用次数: 0

Exact Inference in a Tetranomial Distribution 四项分布中的精确推断

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-01-02 DOI: 10.1080/07474946.2022.2123517

P. Sultana, M. Pal, B. Sinha

引用次数: 0

Asymptotic Optimality Theory for Active Quickest Detection with Unknown PostChange Parameters. 未知变化后参数的主动最快检测渐近最优理论

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2023-01-01 Epub Date: 2023-05-23 DOI: 10.1080/07474946.2023.2187417

Qunzhi Xu, Yajun Mei

引用次数: 0

Designing of Variables Double Sampling Plan Under Rectifying Inspection for Consumer Protection 消费者权益保护整改检查变量双抽样方案的设计

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2022-12-21 DOI: 10.1080/07474946.2022.2149804

P. Jeyadurga, S. Balamurali

{"title":"Designing of Variables Double Sampling Plan Under Rectifying Inspection for Consumer Protection","authors":"P. Jeyadurga, S. Balamurali","doi":"10.1080/07474946.2022.2149804","DOIUrl":"https://doi.org/10.1080/07474946.2022.2149804","url":null,"abstract":"Abstract Designing of acceptance sampling plans based on operating characteristics fail to prescribe the corrective action for rejected lots although they guarantee the producer’s and the consumer’s protection at their corresponding quality levels. But, rectification sampling inspection plan suggests 100% inspection for rejected lots and hence, the producer’s risk is reduced and also there is a guarantee to the consumer by restricting upper limit of the maximum expected proportion of non-conforming of the shipping lot. Although the variables single sampling plan for rectifying inspection is available, variables double sampling inspection plan under rectifying inspection has not yet been designed. Hence, in this paper, we design a variables double sampling plan for rectifying inspection indexed by acceptable quality level and average outgoing quality limit to meet the needs of the producer as well as the consumer. A non-linear optimization problem is developed to determine the optimal parameters with minimum average sample number at acceptable quality level for both cases of standard deviation are known and unknown. We investigate the validation and limitation of the proposed plan through the simulation study and industrial application of the proposed plan is also given. It can be confirmed from the investigations on the results that in many situations, variables double sampling plan designed under rectifying inspection is more economical than variables single sampling plan designed with the same conditions in providing the same protection to consumer.","PeriodicalId":48879,"journal":{"name":"Sequential Analysis-Design Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2022-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47704230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A numerical approach to sequential multi-hypothesis testing for Bernoulli model 伯努利模型序贯多假设检验的数值方法

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2022-12-10 DOI: 10.1080/07474946.2023.2215825

A. Novikov

{"title":"A numerical approach to sequential multi-hypothesis testing for Bernoulli model","authors":"A. Novikov","doi":"10.1080/07474946.2023.2215825","DOIUrl":"https://doi.org/10.1080/07474946.2023.2215825","url":null,"abstract":"Abstract In this article, we deal with the problem of sequential testing of multiple hypotheses. The main goal is minimizing the expected sample size (ESS) under restrictions on the error probabilities. We take, as a criterion of minimization, a weighted sum of the ESSs evaluated at some points of interest in the parameter space, aiming at its minimization under restrictions on the error probabilities. We use a variant of the method of Lagrange multipliers based on the minimization of an auxiliary objective function (called Lagrangian) combining the objective function with the restrictions, taken with some constants called multipliers. Subsequently, the multipliers are used to make the solution comply with the restrictions. We develop a computer-oriented method of minimization of the Lagrangian function that provides, depending on the specific choice of the parameter points, optimal tests in different concrete settings, as in Bayesian, Kiefer-Weiss, and other settings. To exemplify the proposed methods for the particular case of sampling from a Bernoulli population, we develop a set of computer algorithms for designing sequential tests that minimize the Lagrangian function and for the numerical evaluation of test characteristics like the error probabilities and the ESS. We implement the algorithms in the R programming language. The program code is available in a public GitHub repository. For the Bernoulli model, we made a series of computer evaluations related to the optimality of sequential multi-hypothesis tests, in a particular case of three hypotheses. A numerical comparison with the matrix sequential probability ratio test is carried out. A method of solution of the multi-hypothesis Kiefer-Weiss problem is proposed and is applied for a particular case of three hypotheses in the Bernoulli model.","PeriodicalId":48879,"journal":{"name":"Sequential Analysis-Design Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2022-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47765666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Detecting an intermittent change of unknown duration 检测持续时间未知的间歇性变化

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2022-10-31 DOI: 10.1080/07474946.2023.2211126

Grigory Sokolov, V. Spivak, A. Tartakovsky

{"title":"Detecting an intermittent change of unknown duration","authors":"Grigory Sokolov, V. Spivak, A. Tartakovsky","doi":"10.1080/07474946.2023.2211126","DOIUrl":"https://doi.org/10.1080/07474946.2023.2211126","url":null,"abstract":"Abstract Oftentimes, in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an overview of existing approaches for intermittent change detection and advocate in favor of a particular setting driven by the intermittent nature of the change. We propose a novel optimization criterion that is more appropriate for many applied areas such as the detection of threats in physical computer systems, near-Earth space informatics, epidemiology, pharmacokinetics, etc. We argue that controlling the local conditional probability of a false alarm, rather than the familiar average run length to a false alarm, and maximizing the local conditional probability of detection is a more reasonable approach versus a traditional quickest change detection approach that requires minimizing the expected delay to detection. We adopt the maximum likelihood (ML) approach with respect to the change duration and show that several commonly used detection rules (cumulative sum [CUSUM], window-limited [WL]-CUSUM, and finite moving average [FMA]) are equivalent to the ML-based stopping times. We discuss how to choose design parameters for these rules and provide a comprehensive simulation study to corroborate intuitive expectations.","PeriodicalId":48879,"journal":{"name":"Sequential Analysis-Design Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43411668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Proof of a Key Inequality for Lattice Event Probabilities with Equal Odds 等奇格事件概率的一个关键不等式的证明

IF 0.8 4区数学

Sequential Analysis-Design Methods and Applications Pub Date : 2022-10-02 DOI: 10.1080/07474946.2022.2129689

B. Levin, C. Leu

引用次数: 0