The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Monitoring mean change via penalized estimation

벌점화 추정기법을 이용한 평균에 대한 모니터링

  • Na, Okyoung (Department of Applied Information Statistics, Kyonggi University) ;
  • Kwon, Sunghoon (Department of Applied Statistics, Konkuk University)
  • 나옥경 (경기대학교 응용정보통계학과) ;
  • 권성훈 (건국대학교 응용통계학과)
  • Received : 2016.11.09
  • Accepted : 2016.12.07
  • Published : 2016.12.31
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Abstract

We suggest a monitoring procedure to detect changes in the mean of the stochastic process. The monitoring procedure is based on penalized least squares estimates. Unlike the fluctuation (FL) monitoring, we use the numbers of nonzero estimates not the fluctuations of sequential parameter estimates. We investigate the behavior of the proposed monitoring procedure by means of a simulation study and compare its performance with CUSUM monitoring.

본 연구에서는 벌점화 최소제곱추정방법을 이용하여 평균의 변화를 모니터링할 수 있는 방법에 대해 연구하였다. 모니터링 이전의 공통 평균과 모니터링을 시작한 이후 순차적으로 관측되는 관측값들의 평균의 차이를 벌점화 최소제곱추정방벙을 이용하여 추정하였으며, 이 추정값들에서 0이 아닌 것의 개수를 바탕으로 모니터링 절차를 개발하였다. 이는 기존의 모니터링 절차들이 순차적으로 얻은 추정값들의 변동성을 기반으로 만들어진 것과 다른 점이다. 모의실험을 통해 본 연구에서 제안한 모니터링 절차가 가지고 있는 특징들을 살펴보았고, 대표적인 모니터링 절차인 CUSUM 모니터링과 비교 분석도 하였다.

Keywords

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