Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for...
Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data
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Bognor Regis: Wiley Subscription Services, Inc
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English
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Bognor Regis: Wiley Subscription Services, Inc
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We consider the problem of quickest changepoint detection where the observations form a first‐order autoregressive (AR(1)) process driven by temporally independent standard white Gaussian noise. Subject to possible change are both the drift of the AR(1) process (μ) and its correlation coefficient (λ), which are both known. The change is abrupt and...
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Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data
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TN_cdi_proquest_journals_2154045816
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2154045816
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ISSN
1524-1904
E-ISSN
1526-4025
DOI
10.1002/asmb.2372
