| 多元正态向量均值变点在线监测 |
| |
| 引用本文： | 刘维奇,刘晋芳,秦瑞兵.多元正态向量均值变点在线监测[J].数学研究及应用,2015,35(4):448-462. |
| |
| 作者姓名： | 刘维奇 刘晋芳 秦瑞兵 |
| |
| 作者单位： | 山西大学管理与决策研究所, 山西 太原 030006; 山西大学数学科学学院, 山西 太原 030006;山西大学数学科学学院, 山西 太原 030006;山西大学数学科学学院, 山西 太原 030006 |
| |
| 基金项目： | 教育部人文社科研究项目(Grant No.14JA790034),国家自然科学基金数学天元基金(Grant No.11226217). |
| |
| 摘 要： | 在这篇文章中, 我们提出了监测多元独立向量均值变点的两种方法. 第一种方法是构造基于残差的CUSUM统计量; 第二种方法是构造基于递归残差的CUSUM统计量. 并分别得到了对应统计量的渐进分布.模拟表明本文提出的方法监测效果良好, 生产实例也说明该方法具有一定的实用性和有效性.
|
| 关 键 词： | 变点 残差 递归残差 在线监测 |
| 收稿时间： | 2014/4/29 0:00:00 |
| 修稿时间： | 2015/5/27 0:00:00 |
Monitoring Change in the Mean Vector of Multivariate Normal Distribution |
| |
| Weiqi LIU,Jinfang LIU and Ruibing QIN.Monitoring Change in the Mean Vector of Multivariate Normal Distribution[J].Journal of Mathematical Research with Applications,2015,35(4):448-462. |
| |
| Authors: | Weiqi LIU Jinfang LIU and Ruibing QIN |
| |
| Institution: | Institute of Management and Decision-making, Shanxi University, Shanxi 030006, P. R. China; School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China;School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China;School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China |
| |
| Abstract: | In this paper, we propose two monitoring schemes to monitor change in the mean vector of independent multivariate process after a period of size $m$. The first procedure is based on the CUSUM of residuals, and the second procedure employs the CUSUM of recursive residuals. The corresponding asymptotic distributions of the statistics are derived. Simulations show that the proposed monitoring procedures perform well. The empirical application illustrates the practicability and effectiveness of the procedures. |
| |
| Keywords: | change-point residuals recursive residuals online monitoring |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《数学研究及应用》浏览原始摘要信息 |
| 点击此处可从《数学研究及应用》下载免费的PDF全文 |
|
