COMPARISON OF EWMA, CUSUM AND SHIRYAYEV-ROBERTS PROCEDURES FOR DETECTING A SHIFT IN THE MEAN

Pollak and Siegmund compared the Shiryayev-Roberts procedure with the CUSUM procedure for detecting a change in the drift of a Brownian moti on based on the conditional average delay time. In this paper, the exp onentially weighted moving average (EWMA) procedure proposed by Robert s is compared with the Shiryayev-Roberts and CUSUM procedures. The com parison is based on the stationary average delay time as advocated by Shiryayev. The optimal design for the EWMA procedure and its asymptoti c properties are studied when the average in-control run length is lar ge. The results show that the EWMA procedure is less efficient than th e other two procedures.