SEQUENTIAL CHANGEPOINT DETECTION IN QUALITY-CONTROL AND DYNAMICAL-SYSTEMS

• 成果类型: Article
• 署名作者: LAI, TL
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/j.2517-6161.1995.tb02052.x
• 发表日期: 1995
• 页码: 613-658
• 关键词: average control schemes; graphical association models; statistical signal analysis; change-point problems; expected sample size; detection algorithms; failure-detection; jump detection; weighted sums; control chart

摘要

After a brief survey of a large variety of sequential detection procedures that are widely scattered in statistical references on quality control and engineering references on fault detection and signal processing, we study some open problems concerning these procedures and introduce a unified theory of sequential changepoint detection. This theory leads to a class of sequential detection rules which are not too demanding in computational and memory requirements for on-line implementation and yet are nearly optimal under several performance criteria.