Monitoring Mean Shift in INAR(1)s Processes based on CLSE-CUSUM Procedure

Authors

  • Hanwool Kim Department of Statistics, Seoul National University, Seoul, Korea
  • Sangyeol Lee Department of Statistics, Seoul National University, Seoul, Korea

Keywords:

Average run length, INAR(1)s process, CLSE-based CUSUM test, CUSUM chart, small to moderate shift

Abstract

In this paper, we consider a new control procedure for monitoring mean shift using the conditional least squares estimator (CLSE)-based cumulative sum (CUSUM) test for the first-order seasonal integer-valued autoregressive (INAR(1)s) processes. Numerical experiments show that the proposed CLSE-CUSUM procedure outperforms conventional CUSUM charts for small to moderate up-shifts in mean of innovation processes, in terms of average run length (ARL), standard deviation (SD) and median.

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Published

2018-07-19

How to Cite

Kim, H., & Lee, S. (2018). Monitoring Mean Shift in INAR(1)s Processes based on CLSE-CUSUM Procedure. Thailand Statistician, 16(2), 173–189. Retrieved from https://ph02.tci-thaijo.org/index.php/thaistat/article/view/135561

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Articles