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A Review of Sequential Changepoint Detection in Quality Control and Dynamical Systems : 품질 관리 및 다이내믹 시스템에서순차적 변화점 탐지에 대한 고찰

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Authors
석은실
Advisor
이상열
Major
자연과학대학 통계학과
Issue Date
2015-02
Publisher
서울대학교 대학원
Keywords
Control chartPoisson Cumulative Sum (CUSUM)CUSUM testparameter change testPoisson autoregressive modelINGARCH(11) model
Description
학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2015. 2. 이상열.
Abstract
This thesis introduces concepts of control chart and its operation, and review various control charts that have been suggested: Shewharts ¯X chart, exponentially weighted moving average (EWMA) chart, cumulative sum (CUSUM) chart, generalized likelihood ratio (GLR) chart and mixture liklihood ratio chart using integrated likelihood ratio. Then, we discuss procedure and advantages of Poisson CUSUM chart. Also, two kinds of parameter change test for Poisson autoregressive models are considered: an estimate-based test using CMLE and a residual-based test. Finally, we perform a simulation study for illustration. We are going to simulate Poisson CUSUM chart with INGARCH(1,1) data if it is usable in spite of the autocorrelation. For the simulation, we deal with various cases of λ, α and β values to see if Poisson CUSUM chart is also valid for autocorrelated Poisson data.
Language
English
URI
https://hdl.handle.net/10371/131292
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College of Natural Sciences (자연과학대학)Dept. of Statistics (통계학과)Theses (Master's Degree_통계학과)
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