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Original Articles

A Note on Multivariate CUSUM Procedures

Pages 409-412 | Published online: 23 Mar 2012
 

Abstract

Cumulative sum (CUSUM) procedures are among the most powerful tools for detecting a shift from a good quality distribution to a bad quality distribution. This article discusses the natural application of CUSUM procedures to the multivariate normal distribution. It discusses two cases, detecting a shift in the mean vector and detecting a shift in the covariance matrix. As an example, the procedure is applied to measurements taken on optical fibers.

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