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CUSUM Schemes for Stationary and Nonstationary Gaussian Processes
Unit of Statistics, School of Business, Örebro University, Örebro, Sweden; National Institute of Standards and Technology, Gaithersburg, MD, USA.ORCID iD: 0000-0003-1359-3311
Linköping University, Department of Management and Engineering, Production Economics. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0001-7855-8221
2024 (English)In: Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science: Essays in Honour of Wolfgang Schmid / [ed] Sven Knoth, Yarema Okhrin, Philipp Otto, Springer, 2024, p. 39-57Chapter in book (Refereed)
Abstract [en]

In the paper, we derive two types of the multivariate CUSUM control charts for stationary and variance nonstationary Gaussian processes based on maximizing the generalized likelihood ratio. As partial cases, the control schemes for independent observations and autoregressive processes are obtained. The second application leads to the two multivariate CUSUM control charts when the covariance matrix is separable. We show that the proposed schemes possess the invariance property. The performance of the control charts is studied within a simulation study.

Place, publisher, year, edition, pages
Springer, 2024. p. 39-57
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-213334DOI: 10.1007/978-3-031-69111-9_2Scopus ID: 2-s2.0-105006868823ISBN: 9783031691102 (print)ISBN: 9783031691119 (electronic)OAI: oai:DiVA.org:liu-213334DiVA, id: diva2:1955125
Available from: 2025-04-29 Created: 2025-04-29 Last updated: 2025-06-17Bibliographically approved

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Bodnar, Taras

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