相关论文: Optimal Design and Analysis of the Exponentially W…
After obtaining an accurate approximation for $ARL_0$, we first consider the optimal design of weight parameter for a multivariate EWMA chart that minimizes the stationary average delay detection time (SADDT). Comparisons with moving…
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a multi-asset scenario, due to dependency only on the decay…
Classifying streaming data requires the development of methods which are computationally efficient and able to cope with changes in the underlying distribution of the stream, a phenomenon known in the literature as concept drift. We propose…
In recent years, the monitoring of compositional data using control charts has been investigated in the Statistical Process Control field. In this study, we will design a Phase II Multivariate Exponentially Weighted Moving Average (MEWMA)…
Multivariate Exponentially Weighted Moving Average, MEWMA, charts are popular, handy and effective procedures to detect distributional changes in a stream of multivariate data. For doing appropriate performance analysis, dealing with the…
Monitoring binomial proportions across multiple independent streams is a critical challenge in Statistical Process Control (SPC), with applications from manufacturing to cybersecurity. While EWMA charts offer sensitivity to small shifts,…
A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all change-point detection procedures with the given low…
This paper presents the exact mathematical derivation of the mean and variance properties for the Exponentially Weighted Moving Average (EWMA) statistic applied to binomial proportion monitoring in Multiple Stream Processes (MSPs). We…
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data. The well known and widely used exponentially weighted…
Most statistical process control programmes in healthcare focus on surveillance of outcomes at the final stage of a procedure, such as mortality or failure rates. Such an approach ignores the multi-stage nature of these procedures, in which…
We consider the problem of detecting abrupt changes in the distribution of a multi-dimensional time series, with limited computing power and memory. In this paper, we propose a new, simple method for model-free online change-point detection…
The Exponentially Weighted Moving Average (EWMA) and Cumulative Sum (CUSUM) control charts have been used in profile monitoring to track drift shifts that occur in a monitored process. We construct Bayesian EWMA and Bayesian CUSUM charts…
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection…
We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maximal "local" probability of a false alarm…
We consider the problem of efficient on-line anomaly detection in computer network traffic. The problem is approached statistically, as that of sequential (quickest) changepoint detection. A multi-cyclic setting of quickest change detection…
The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters…
In many modern industrial scenarios, the measurements of the quality characteristics of interest are often required to be represented as functional data or profiles. This motivates the growing interest in extending traditional univariate…
A scope in quality control, which has recently received a great deal of attention is profile that characterizes the quality of a product or process by a relationship between two or more variables. In this paper, we propose an EWMA chart for…
Exponential Moving Average (EMA) is a widely used weight averaging (WA) regularization to learn flat optima for better generalizations without extra cost in deep neural network (DNN) optimization. Despite achieving better flatness, existing…
The monitoring of serially independent or autocorrelated count processes is considered, having a Poisson or (negative) binomial marginal distribution under in-control conditions. Utilizing the corresponding Stein identities, exponentially…