Monitoring mean change via penalized estimation

被引：0
|
作者：
Na, Okyoung [1 ]
Kwon, Sunghoon [2 ]
机构：
[1] Kyonggi Univ, Dept Appl Informat Stat, Suwon, South Korea
[2] Konkuk Univ, Dept Appl Stat, 120 Neungdong Ro, Seoul 05029, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2016年 / 29卷 / 07期
基金：
新加坡国家研究基金会;
关键词：
CUSUM monitoring; FL monitoring; LASSO; penalized estimation; SCAD;
D O I：
10.5351/KJAS.2016.29.7.1429
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：1429 / 1444
页数：16
相关论文
共 50 条
  • [41] On the Laplace operator penalized by mean curvature
    Harrell, EM
    Loss, M
    [J]. COMMUNICATIONS IN MATHEMATICAL PHYSICS, 1998, 195 (03) : 643 - 650
  • [42] On the Laplace Operator Penalized by Mean Curvature
    Evans M. Harrell II
    Michael Loss
    [J]. Communications in Mathematical Physics, 1998, 195 : 643 - 650
  • [43] Norm-adaption penalized least mean square/fourth algorithm for sparse channel estimation
    Li, Yingsong
    Wang, Yanyan
    Jiang, Tao
    [J]. SIGNAL PROCESSING, 2016, 128 : 243 - 251
  • [44] Online Parallel Monitoring via Hard-thresholding Post-change Estimation
    Wang, Yuan
    Mei, Yajun
    [J]. 2014 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT), 2014, : 3190 - 3194
  • [45] Kernel Mean Estimation via Spectral Filtering
    Muandet, Krikamol
    Sriperumbudur, Bharath
    Schoelkopf, Bernhard
    [J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 27 (NIPS 2014), 2014, 27
  • [46] Estimation of Copulas via Maximum Mean Discrepancy
    Alquier, Pierre
    Cherief-Abdellatif, Badr-Eddine
    Derumigny, Alexis
    Fermanian, Jean-David
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2023, 118 (543) : 1997 - 2012
  • [47] Direction of Arrival Estimation in Elliptical Models via Sparse Penalized Likelihood Approach
    Chen, Chen
    Zhou, Jie
    Tang, Mengjiao
    [J]. SENSORS, 2019, 19 (10)
  • [48] Finite Mixture of Generalized Semiparametric Models: Variable Selection via Penalized Estimation
    Eskandari, Farzad
    Ormoz, Ehsan
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2016, 45 (10) : 3744 - 3759
  • [49] Global-in-time regularity via duality for congestion-penalized Mean Field Games
    Prosinski, Adam
    Santambrogio, Filippo
    [J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS, 2017, 89 (6-7): : 923 - 942
  • [50] Penalized estimation of haplotype frequencies
    Ayers, Kristin L.
    Lange, Kenneth
    [J]. BIOINFORMATICS, 2008, 24 (14) : 1596 - 1602
12345