| CUSUM,GLR,GEWMA以及RFCuscore控制图监测稳定过程均值漂移的效果比较(英) |
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| 引用本文： | 赵宁,韩东,宗福季.CUSUM,GLR,GEWMA以及RFCuscore控制图监测稳定过程均值漂移的效果比较(英)[J].应用概率统计,2005,21(4). |
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| 作者姓名： | 赵宁 韩东 宗福季 |
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| 基金项目： | 国家自然科学基金，RGC Compet-itive Earmarked Research Grants |
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| 摘 要： | 本文给出了累积和控制图(CUSUM)监测稳定过程均值漂移的平均运行长度(ARL)的区间估计,并采用数字模拟的方法对CUSUM,GLR,GEWMA以及RFCuscore四种控制图监测稳定过程均值漂移的效果进行比较,结果显示CUSUM效果最好.
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| 关 键 词： | 统计过程控制 变点监测 平均运行长度 稳定过程 CUSUM |
Comparison of CUSUM, GLR, GEWMA and RFCuscore in Detecting Mean Shifts of Stable Processes |
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| ZHAO NING,HAN DONG,TSUNG FUGEE.Comparison of CUSUM, GLR, GEWMA and RFCuscore in Detecting Mean Shifts of Stable Processes[J].Chinese Journal of Applied Probability and Statisties,2005,21(4). |
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| Authors: | ZHAO NING HAN DONG TSUNG FUGEE |
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| Abstract: | In this paper we not only present an estimation of the average run length (ARL) for CUSUM(cumulative sum) control chart but also give a numerical comparison of CUSUM, GLR (Gener-alized Likelihood Ratio), GEWMA (Generalized EWMA) and RFCuscore (Reference-free Cus-core) control charts in detecting the mean shifts of stable processes. The simulation results show that CUSUM has the best performance among the four charts in detecting mean shifts of any size if the index of stability α of stable distribution satisfies 1＜α＜2. |
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| Keywords: | Statistical process control change point detection average run length stable process CUSUM |
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