2019/07/31 by Dong Han, Fugee Tsung, Han, Dong +3
Agricultural and Biological Sciences · Decision Sciences · Mathematics · #Advanced Statistical Process Monitoring #FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Pesticide Residue Analysis and Safety #Statistical Methods in Clinical Trials #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1907.13421
openalex publication_date 2019/07/31 · openalex created_date 2019/08/13 · openalex updated_date 2026/07/28
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different optimal sequential tests can be constructed for different performance measures of detection delay times. We also provide a formula to calculate the value of the generalized out-of-control average run length for every optimal sequential test. Moreover, we show that there is an equivalent optimal control limit which does not depend on the test statistic directly when the post-change conditional densities (probabilities) of the observation sequences do not depend on the change time.