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Monitoring mean change via penalized estimation

벌점화 추정기법을 이용한 평균에 대한 모니터링

  • Na, Okyoung (Department of Applied Information Statistics, Kyonggi University) ;
  • Kwon, Sunghoon (Department of Applied Statistics, Konkuk University)
  • 나옥경 (경기대학교 응용정보통계학과) ;
  • 권성훈 (건국대학교 응용통계학과)
  • Received : 2016.11.09
  • Accepted : 2016.12.07
  • Published : 2016.12.31

Abstract

We suggest a monitoring procedure to detect changes in the mean of the stochastic process. The monitoring procedure is based on penalized least squares estimates. Unlike the fluctuation (FL) monitoring, we use the numbers of nonzero estimates not the fluctuations of sequential parameter estimates. We investigate the behavior of the proposed monitoring procedure by means of a simulation study and compare its performance with CUSUM monitoring.

Acknowledgement

Supported by : 한국연구재단

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