Ugaz, Willy; Sánchez, Ismael - Departamento de Estadistica, Universidad Carlos III de … - 2015
It is known that time-weighted charts like EWMA or CUSUM are designed to be optimal to detect a specific shift. If they are designed to detect, for instance, a very small shift, they can be inefficient to detect moderate or large shifts. In the literature, several alternatives have been proposed...