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CUSUM Schemes for Stationary and Nonstationary Gaussian Processes

In: Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science

Author

Listed:
  • Olha Bodnar

    (Örebro University, Unit of Statistics, School of Business
    National Institute of Standards and Technology)

  • Taras Bodnar

    (Linköping University, Department of Management and Engineering)

Abstract

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.

Suggested Citation

  • Olha Bodnar & Taras Bodnar, 2024. "CUSUM Schemes for Stationary and Nonstationary Gaussian Processes," Springer Books, in: Sven Knoth & Yarema Okhrin & Philipp Otto (ed.), Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science, pages 39-57, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-69111-9_2
    DOI: 10.1007/978-3-031-69111-9_2
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