| 监测L\'{e}vy稳定过程均值变点的平均运行时间估计 |
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| 引用本文： | 张晨,韩东,宗福季.监测L\'{e}vy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):384-394. |
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| 作者姓名： | 张晨 韩东 宗福季 |
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| 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 |
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| 基金项目： | ＊This work was supported by the Key Project 6f Science and Technology Committee of Shanghai （03JC14050） and RGC Competitive Earmarked Research Grants HKUST6011/01E. |
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| 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\bd 本文主要研究L\'{e}vy 稳定过程的均值变点监测问题\bd 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.
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| 关 键 词： | 变点监测 平均运行长度 L\'{e}vy稳定过程 EWMA GLR GEWMA CUSUM. |
| 收稿时间： | 2005-09-19 |
| 修稿时间： | 2006-03-05 |
The Average Run Lengths of Control Charts for Stable L\'{e}vy Processes |
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| Zhang Chen,HAN Dongong,TSUNG Fugee.The Average Run Lengths of Control Charts for Stable L\''{e}vy Processes[J].Chinese Journal of Applied Probability and Statisties,2007,23(4):384-394. |
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| Authors: | Zhang Chen HAN Dongong TSUNG Fugee |
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| Institution: | Department of Mathematics, Shanghai Jiao Tong University, Department of Industrial Engineering and Engineering Management, Hong Kong University of Science and Technology |
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| 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 L\'{e}vy process. |
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| Keywords: | Change point detection average run length stable Levy process EWMA GEWMA GLR CUSUM |
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