Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147445 | Journal of Statistical Planning and Inference | 2014 | 18 Pages |
Abstract
In this paper the asymptotic distribution of the stopping time in Page's sequential cumulative sum (CUSUM) procedure is presented. Page as well as ordinary cumulative sums are considered as detectors for changes in the mean of observations satisfying a weak invariance principle. The main results on the stopping times derived from these detectors extend a series of results on the asymptotic normality of stopping times of CUSUM-type procedures. In particular the results quantify the superiority of the Page CUSUM procedure to ordinary CUSUM procedures in late change scenarios. The theoretical results are illustrated by a small simulation study, including a comparison of the performance of ordinary and Page CUSUM detectors.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Stefan Fremdt,