Monitoring Change in the Mean Vector of Multivariate Normal Distribution

摘要

In this paper,we propose two monitoring schemes to monitor change in the mean vector of independent multivariate process after a period of size m.The first procedure is based on the CUSUM of residuals,and the second procedure employs the CUSUM of recursive residuals.The corresponding asymptotic distributions of the statistics are derived.Simulations show that the proposed monitoring procedures perform well.The empirical application illustrates the practicability and effectiveness of the procedures.