| Monitoring Change in the Mean Vector of Multivariate Normal Distribution |
| Received:April 29, 2014 Revised:May 27, 2015 |
| Key Words:
change-point residuals recursive residuals online monitoring
|
| Fund Project: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 Name | Affiliation | | 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 |
|
| Hits: 2599 |
| Download times: 2201 |
| 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 |
| View Full Text View/Add Comment |
