Some stylized facts of the conditional expected delay (CED)
Publication date
2024-10-23
Document type
Sammelbandbeitrag oder Buchkapitel
Author
Organisational unit
Scopus ID
Publisher
Springer Nature Switzerland
Book title
Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science
First page
127
Last page
153
Part of the university bibliography
✅
Language
English
Abstract
The popular zero-state average run length (ARL) is just the mean of the random run length, which is the core element of a control chart. However, more appropriate measures for evaluating the detection power make use of the conditional expected delay (CED), which is the mean of the detection delay for a given change point position. τ = 1, 2, ... under the condition that no false alarm was triggered. Originally, it was only a prerequisite for building sophisticated delay measures. Aiming to optimize the latter, interesting patterns of the CED series were found. While the more theoretical strand of monitoring research struggles with some open optimality problems, did the more applied one not recognize the CED stylized facts so far. This contribution tries to close the gap. More importantly, it emphasizes and affirms the importance of an appropriate CED analysis.
Version
Published version
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Metadata only access