The Effect of Serial Correlation on the Performance of CUSUM Tests

DOI10.2307/1267498zbMath0277.62069OpenAlexW4230312675MaRDI QIDQ4403614

No author found.

Publication date: 1974

Full work available at URL: https://doi.org/10.2307/1267498

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Exact distribution theory in statistics (62E15) Mathematical economics (91B99)

Related Items

On the run length of a Shewhart chart for correlated data, One-cluster sampling designs for an autocorrelated population, Some properties of a linear combination CUSUM statistic for controlling a multivariate mean vector, Artificial neural networks in applying MCUSUM residuals charts for AR(1) processes, CUSUM control schemes for Gaussian processes, Effect of dependence on statistics for determination of change, Two-sided tests for change in level for correlated data, Gradient analysis of Markov-type control schemes and its applications, The effect of serial correlation on the in-control average run length of cumulative score charts, A nonparametric exponentially weighted moving average control scheme, Unnamed Item, Study of average run lengths for supplementary runs rules in the presence of autocorrelation, A cusum test in the linear regression model with serially correlated disturbances, Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification, The effect of autocorrelation on the diagnostic procedures, Autoregressive processes applied to acceptance sampling by varlables, Inference for post-change parameters after sequential CUSUM test under AR(1) model, A generalized exponentially weighted moving average control chart for monitoring autocorrelated vectors, A minimum cost exponential cusum test, Unnamed Item, Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data, Control charts for monitoring processes with autocorrelated data, On stability of sequential Wald test to a violation of the assumption about observations' independence, Comparison of fixed versus variable samplmg interval shewhart control charts in the presence of positively autocorrelated data, EVVMA and cusum control charts in the presence of correlation, Unnamed Item, Testing for parameter constancy in GARCH\((p,q)\) models, Some martingales related to cumulative sum tests and single-server queues, The effect of long-range dependence on change-point estimators, Monitoring parameter change in AR\((p)\) time series models, Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance, Autoregressive-output-analysis methods revisited, Testing for changes in the covariance structure of linear processes, A discussion on ``Detection of intrusions in information systems by sequential change-point methods by Tartakovsky, Rozovskii, Blažek, and Kim, Effect of correlation on the estimation of a mean in the presence of spurious observations, Change-point problems: bibliography and review, Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal, A control chart for a general Gaussian process, Change-point in the mean of dependent observations, The effect of autocorrelation on the retrospectiveX-chart, Effects of autocorrelation on control chart performance