在线检测瞬态平均值变化的MOSUM测试的功率

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Sequential Analysis-Design Methods and Applications Pub Date : 2020-04-02 DOI:10.1080/07474946.2020.1767406

J. Noonan, A. Zhigljavsky

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引用次数: 11

摘要

摘要本文讨论了一种用于检测独立同分布(i.i.d)正态随机变量序列均值暂态变化的在线移动和检验方法。通过使用成熟的连续时间高斯过程理论，并随后对离散时间的结果进行校正，我们提供了测试的平均运行长度(ARL)和功率的精确近似值。我们将理论结果与模拟结果进行了对比，比较了MOSUM检验与累积和检验(CUSUM)的有效性，并简要考虑了非正态随机变量和加权和的情况。

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Power of the MOSUM test for online detection of a transient change in mean

Abstract In this article we discuss an online moving sum (MOSUM) test for detection of a transient change in the mean of a sequence of independent and identically distributed (i.i.d.) normal random variables. By using a well-developed theory for continuous time Gaussian processes and subsequently correcting the results for discrete time, we provide accurate approximations for the average run length (ARL) and power of the test. We check theoretical results against simulations, compare the power of the MOSUM test with that of the cumulative sum (CUSUM), and briefly consider the cases of nonnormal random variables and weighted sums.

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来源期刊

Sequential Analysis-Design Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： The purpose of Sequential Analysis is to contribute to theoretical and applied aspects of sequential methodologies in all areas of statistical science. Published papers highlight the development of new and important sequential approaches. Interdisciplinary articles that emphasize the methodology of practical value to applied researchers and statistical consultants are highly encouraged. Papers that cover contemporary areas of applications including animal abundance, bioequivalence, communication science, computer simulations, data mining, directional data, disease mapping, environmental sampling, genome, imaging, microarrays, networking, parallel processing, pest management, sonar detection, spatial statistics, tracking, and engineering are deemed especially important. Of particular value are expository review articles that critically synthesize broad-based statistical issues. Papers on case-studies are also considered. All papers are refereed.