PERFORMANCE OF CUSUM CHARTS FROM THE VIEWPOINT OF CHANGE-POINT ESTIMATION IN THE PRESENCE OF AUTOCORRELATION

摘要

Cusum charts have good performance on not only the detection of the process change, but also the estimation of the change point. In this paper we will discuss the performance of cusum charts from the viewpoint of change-point estimation in the presence of autocorrelation. Supposing a first-order autoregress-ive (AR(1)) model as a primitive autocorrelated model, we examine the performance of the change-point estimator in cusum charts. Then we apply a two dimensional Markov process to the representation of the cusum statistic. In addition, we examine the relationship between the performance of the change-point estimator in the AR(1) model and in other primitive autocorrelated models by using the autocorrelation function.