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http://dx.doi.org/10.5351/KJAS.2016.29.7.1429

Monitoring mean change via penalized estimation  

Na, Okyoung (Department of Applied Information Statistics, Kyonggi University)
Kwon, Sunghoon (Department of Applied Statistics, Konkuk University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.7, 2016 , pp. 1429-1444 More about this Journal
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.
Keywords
CUSUM monitoring; FL monitoring; LASSO; penalized estimation; SCAD;
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