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CUSUM tests based on grouped observations

This paper deals with CUSUM tests based on
grouped or classified observations. The computation of average
run length is reduced to that of solving of a system of simultaneous
linear equations. Moreover a corresponding approximation
based on the Wald approximations for characteristics of sequential
likelihood ratio tests is presented.
The effect of grouping is investigated with a CUSUM test
for the mean of a normal distribution based on F-optimal
grouping schemes. The considered example demonstrates that
hight efficient CUSUM tests can be obtained for F-optimal
grouping schemes already with a small number of groups.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa.de:bsz:ch1-200901820
Date08 November 2009
CreatorsEger, Karl-Heinz, Tsoy, Evgeni Borisovich
ContributorsTU Chemnitz, Fakultät für Mathematik
PublisherUniversitätsbibliothek Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:conferenceObject
Formatapplication/pdf, text/plain, application/zip
SourceProceedings of 'The 2009 International Forum on Strategic Technologies - IFOST 2009', Vol. ' Automation and Mechatronics', Ho Chi Minh City University of Technology, October 21-23, 2009, Ho Chi Minh City, Vietnam. pp. 71-76.

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