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The optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance change

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  • Gideon Mensah Engmann
  • Dong Han

Abstract

This article considers the problem of jointly monitoring the mean and variance of a process by multi-chart schemes. Multi-chart is a combination of several single charts which detects changes in a process quickly. Asymptotic analyses and simulation studies show that the optimized CUSUM multi-chart has optimal performance than optimized EWMA multi-chart in jointly detecting mean and variance shifts in an $ i.i.d. $ i.i.d. normal observation. A real example that monitors the changes in IBM's stock returns (mean) and risks (variance) is used to demonstrate the performance of the above two multi-charts. The proposed method has been compared to a benchmark and it performed better.

Suggested Citation

  • Gideon Mensah Engmann & Dong Han, 2022. "The optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance change," Journal of Applied Statistics, Taylor & Francis Journals, vol. 49(6), pages 1540-1558, April.
    • Handle: RePEc:taf:japsta:v:49:y:2022:i:6:p:1540-1558
    DOI: 10.1080/02664763.2020.1870670
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