Monitoring Change in the Mean Vector of Multivariate Normal Distribution
Received:April 29, 2014  Revised:May 27, 2015
Key Word: change-point   residuals   recursive residuals   online monitoring  
Fund ProjectL:Supported by Humanities and Social Science Research Project Fund of Ministry of Education (Grant No.14JA790034) and the National Natural Science Foundation of Tianyuan Fund (Grant No.11226217).
Author NameAffiliation
Weiqi LIU Institute of Management and Decision-making, Shanxi University, Shanxi 030006, P. R. China
School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China 
Jinfang LIU School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China 
Ruibing QIN School of Mathematical Sciences, Shanxi University, Shanxi 030006, P. R. China 
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Abstract:
      In this paper, we propose two monitoring schemes to monitor change in the mean vector of independent multivariate process after a period of size $m$. The first procedure is based on the CUSUM of residuals, and the second procedure employs the CUSUM of recursive residuals. The corresponding asymptotic distributions of the statistics are derived. Simulations show that the proposed monitoring procedures perform well. The empirical application illustrates the practicability and effectiveness of the procedures.
Citation:
DOI:10.3770/j.issn:2095-2651.2015.04.010
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