| 监测Lévy稳定过程均值变点的平均运行时间估计 |
| |
| 引用本文： | 张晨,韩东,宗福季.监测Lévy稳定过程均值变点的平均运行时间估计[J].应用概率统计,2007,23(4). |
| |
| 作者姓名： | 张晨 韩东 宗福季 |
| |
| 作者单位： | 1. 上海交通大学数学系,上海,200240
2. 香港科技大学工业工程与工程管理系,香港 |
| |
| 摘 要： | 平均运行长度(时间)(ARL)是判断一控制图监测变点效果好坏的一个重要工具.本文主要研究Lévy稳定过程的均值变点监测问题.我们给出了三个控制图,即EWMA,GEWMA和GLR的ARL估计,并通过数值模拟比较了4个控制图监测均值变点的效果和差异.
|
| 关 键 词： | 变点监测 平均运行长度 Lévy稳定过程 stable Lévy process |
The Average Run Lengths of Control Charts for Stable Lévy Processes |
| |
| ZHANG CHEN,HAN DONG,TSUNG FUGEE.The Average Run Lengths of Control Charts for Stable Lévy Processes[J].Chinese Journal of Applied Probability and Statisties,2007,23(4). |
| |
| Authors: | ZHANG CHEN HAN DONG TSUNG FUGEE |
| |
| Abstract: | As we know that the average run length (ARL) is an extensively used measure in statistical process control (SPC) for evaluating and comparing the detection performance of various control charts. In this paper we not only present the asymptotic estimation of the ARL for the exponentially weighted moving average (EWMA), generalized EWMA (GEWMA) and generalized likelihood ratio (GLR) control charts but also compare the detection performance by the numerical simulation among the four charts: EWMA, GEWMA, GLR and CUSUM in detecting the mean change of a stable Lévy process. |
| |
| Keywords: | EWMA GLR GEWMA CUSUM Change point detection average run length EWMA GEWMA GLR CUSUM |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
