摘要
平均运行长度(时间)(ARL)是判断一控制图监测变点效果好坏的一个重要工具.本文主要研究Lévy稳定过程的均值变点监测问题.我们给出了三个控制图,即EWMA,GEWMA和GLR的ARL估计,并通过数值模拟比较了4个控制图监测均值变点的效果和差异.
As we know that the average run length （ARL） is an extensively used measure in statistical process control （SPC） for evaluating and comparing the detection performance of various control charts. In this paper we not only present the asymptotic estimation of the ARL for the exponentially weighted moving average （EWMA）, generalized EWMA （GEWMA） and generalized likelihood ratio （GLR） control charts but also compare the detection performance by the numerical simulation among the four charts： EWMA, GEWMA, GLR and CUSUM in detecting the mean change of a stable Levy process.
出处
《应用概率统计》
CSCD
北大核心
2007年第4期384-394,共11页
Chinese Journal of Applied Probability and Statistics
基金
This work was supported by the Key Project of Science and Technology Committee of Shanghai(03JC14050)
RGC Competitive Earmarked Research Grants HKUST6011/01E.
