Ms. Srivastava et Yh. Wu, COMPARISON OF EWMA, CUSUM AND SHIRYAYEV-ROBERTS PROCEDURES FOR DETECTING A SHIFT IN THE MEAN, Annals of statistics, 21(2), 1993, pp. 645-670
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.