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June, 1993 Comparison of EWMA, CUSUM and Shiryayev-Roberts Procedures for Detecting a Shift in the Mean
M. S. Srivastava, Yanhong Wu
Ann. Statist. 21(2): 645-670 (June, 1993). DOI: 10.1214/aos/1176349142

Abstract

Pollak and Siegmund compared the Shiryayev-Roberts procedure with the CUSUM procedure for detecting a change in the drift of a Brownian motion based on the conditional average delay time. In this paper, the exponentially weighted moving average (EWMA) procedure proposed by Roberts is compared with the Shiryayev-Roberts and CUSUM procedures. The comparison is based on the stationary average delay time as advocated by Shiryayev. The optimal design for the EWMA procedure and its asymptotic properties are studied when the average in-control run length is large. The results show that the EWMA procedure is less efficient than the other two procedures.

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M. S. Srivastava. Yanhong Wu. "Comparison of EWMA, CUSUM and Shiryayev-Roberts Procedures for Detecting a Shift in the Mean." Ann. Statist. 21 (2) 645 - 670, June, 1993. https://doi.org/10.1214/aos/1176349142

Information

Published: June, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0816.62068
MathSciNet: MR1232510
Digital Object Identifier: 10.1214/aos/1176349142

Subjects:
Primary: 62L10
Secondary: 62N10

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 2 • June, 1993
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