误差为线性过程时非参数回归模型变点的两步估计

本文给出误差为线性过程时非参数回归模型变点两步估计.第一步,给出变点位置的初始估计,并且证明了该估计量的相合性;第二步,在变点初始估计值的基础上推导出变点位置的最终估计量并给出了该估计量的收敛速度.数值模拟以及尼罗河数据实例分析的结果说明方法的有效性.     

Maximum likelihood estimation of change point from stationary to nonstationary in autoregressive models using dynamic linear model

Change point estimation is a useful concept in time series models that could be applied in several fields such as financing, quality control. It helps to decrease costs of decision making and production by monitoring stock market and production lines, respectively. In this paper, the maximum likelihood technique is developed to estimate change point at which the stationary AR(1) model changes to a nonstationary process. Filtering and smoothing of dynamic linear model are used to estimate unknown parameters after change point. We also assume that correlation exists between samples' statistics. Simulation results show the effectiveness of the proposed estimators to estimate the change point of stationary. In addition based on Shewhart control chart, filtering has a better accuracy in comparison to smoothing. A real example is provided to illustrate the application.     

Estimating the Change Point of a Poisson Rate Parameter with a Linear Trend Disturbance

Knowing when a process changed would simplify the search and identification of the special cause. In this paper, we compare the maximum likelihood estimator (MLE) of the process change point designed for linear trends to the MLE of the process change point designed for step changes when a linear trend disturbance is present. We conclude that the MLE of the process change point designed for linear trends outperforms the MLE designed for step changes when a linear trend disturbance is present. We also present an approach based on the likelihood function for estimating a confidence set for the process change point. We study the performance of this estimator when it is used with a cumulative sum (CUSUM) control chart and make direct performance comparisons with the estimated confidence sets obtained from the MLE for step changes. The results show that better confidence can be obtained using the MLE for linear trends when a linear trend disturbance is present. Copyright © 2005 John Wiley & Sons, Ltd.     

Estimating the drift time for processes subject to linear trend disturbance using fuzzy statistical clustering

Although control charts can notify the state of out-of-control in a process by generating a signal, the indication is usually followed by a considerable amount of delay. Identifying the real time of the change in a process would provide a starting point for further investigation of an assignable cause. This paper addresses the problem of detecting the change point in different processes when the quality characteristics drift steadily away from an in-control state. For this purpose, a fuzzy statistical clustering (FSC) method is used to estimate the drift time in different processes. Since the application of an FSC method requires both in- and out-of-control values of the process parameter, a linear regression model is utilised to estimate the trend rate and then calculate the out-of-control process parameter. Through extensive simulations, the performance of the proposed change point estimation method is analysed and compared with the most recent estimators for several control charts. The results demonstrate that the proposed method is more effective in detecting the drift time through a wide range of trend rates. Furthermore, it is shown that the proposed method offers a higher estimation precision compared to conventional statistical methods.     

矩阵损失下线性混合模型中的局部线性Minimax估计

本文研究了一般线性混合模型中固定效应和随机效应的线性组合的Minimax估计问题.在矩阵损失函数下,考虑了这个组合的线性估计在线性估计类中的局部极小极大性.关于适当的假设,得到了线性可估函数的唯一局部线性Minimax估计.     

Estimating the Change Point of the Process Fraction Non‐conforming with a Monotonic Change Disturbance in SPC

Knowing when a process has changed would simplify the search for and identification of the special cause. In this paper, we propose a maximum‐likelihood estimator for the change point of the process fraction non‐conforming without requiring knowledge of the exact change type a priori. Instead, we assume the type of change present belongs to a family of monotonic changes. We compare the proposed change‐point estimator to the maximum‐likelihood estimator for the process change point derived under a simple step change assumption. We do this for a number of monotonic change types and following a signal from a binomial cumulative sum (CUSUM) control chart. We conclude that it is better to use the proposed change point estimator when the type of change present is only known to be monotonic. The results show that the proposed estimator provides process engineers with an accurate and useful estimate of the time of the process change regardless of the type of monotonic change that may be present. Copyright © 2006 John Wiley & Sons, Ltd.     

Change point estimation for monotonically changing Poisson rates in SPC

Knowing when a process has changed would simplify the search for and identification of the special cause. Although several change point methods have been suggested, many of them rely on the assumption that the effect present in the process output follows some known form (e.g. sudden shift or linear trend). Since processes are often influenced by several input factors, sudden shifts and linear trends do not always adequately describe the true nature of the process behavior. In this paper, we propose a maximum likelihood estimator for the change point of a Poisson rate parameter without requiring exact a priori knowledge regarding the form of the effect present. Instead, we assume the form of effect present can be characterized as belonging to the set of monotonic effects. We compare the proposed change point estimator to the commonly used maximum likelihood estimator for the process change point derived under a sudden and persistent shift assumption. We do this for a number of monotonic effects and following a signal from a Poisson CUSUM control chart. We conclude that it is better to use the proposed change point estimator when the form of the effect present is only known to be monotonic. The results show that the proposed estimator provides process engineers with an accurate and useful estimate of the last observation obtained from the unchanged process regardless of the form of monotonic effect that may be present.     

Estimating the time of step change with Poisson CUSUM and EWMA control charts

Knowing when a process has changed would simplify the search for and identification of the special cause. Consequently, having an estimate of the process change point following a control chart signal would be useful to process engineers. Much of the literature on change point models and techniques for statistical process control applications consider processes well modelled by the normal distribution. However, the Poisson distribution is commonly used in industrial quality control applications for modelling attribute-based process quality characteristics (e.g., counts of non-conformities). Some commonly used control charts for monitoring Poisson distributed data are the Poisson cumulative sum (CUSUM) and exponentially weighted moving average (EWMA) control charts. In this paper, we study the effect of changes in the design of the control chart on the performances of the change point estimators offered by these procedures. In particular, we compare root mean square error performances of the change point estimators offered by the Poisson CUSUM and EWMA control charts relative to that achieved by a maximum likelihood estimator for the process change point. Results indicate that the relative performance achieved by each change point estimator is a function of the corresponding control chart design. Relative mean index plots are provided to enable users of these control charts to choose a control chart design and change point estimator combination that will yield robust change point estimation performance across a range of potential change magnitudes.     

Estimating the change point of a normal process mean with a monotonic change

One of the essential steps for process improvement is to quickly recognize the starting time or the change point of a process disturbance. In this paper, we describe the behavior model of process mean and then obtain a maximum‐likelihood estimator (MLE) for the change point of the normal process mean without requiring the exact knowledge of the change type. Instead, we assume that the type of change present belongs to a family of monotonic changes. Finally, we study the performance of the proposed change‐point estimator relative to the MLEs for the process mean change point derived under a simple step change and linear trend change assumption. We do this for a number of monotonic change types following a signal from a Shewhart X̄ control chart. Copyright © 2008 John Wiley & Sons, Ltd.     

An informative subset-based estimator for censored quantile regression

Quantile regression in the presence of fixed censoring has been studied extensively in the literature. However, existing methods either suffer from computational instability or require complex procedures involving trimming and smoothing, which complicates the asymptotic theory of the resulting estimators. In this paper, we propose a simple estimator that is obtained by applying standard quantile regression to observations in an informative subset. The proposed method is computationally convenient and conceptually transparent. We demonstrate that the proposed estimator achieves the same asymptotical efficiency as the Powell??s estimator, as long as the conditional censoring probability can be estimated consistently at a nonparametric rate and the estimated function satisfies some smoothness conditions. A simulation study suggests that the proposed estimator has stable and competitive performance relative to more elaborate competitors.     

Nonparametric estimation of mean and dispersion functions in extended generalized linear models

We study joint nonparametric estimators of the mean and the dispersion functions in extended double exponential family models. The starting point is the exponential family and the generalized linear models setting. The extended models allow for both overdispersion and underdispersion, or even a combination of both. We simultaneously estimate the dispersion function and the mean function by using P-splines with a difference type of penalty to avoid overfitting. Special attention is given to the smoothing parameter selection as well as to implementation issues. The performance of the method is investigated via simulations. A comparison with other available methods is made. We provide applications to several sets of data, including continuous data, counts and proportions.     

Estimating the usefulness of distorted natural images using an image contour degradation measure

Quality estimators aspire to quantify the perceptual resemblance, but not the usefulness, of a distorted image when compared to a reference natural image. However, humans can successfully accomplish tasks (e.g., object identification) using visibly distorted images that are not necessarily of high quality. A suite of novel subjective experiments reveals that quality does not accurately predict utility (i.e., usefulness). Thus, even accurate quality estimators cannot accurately estimate utility. In the absence of utility estimators, leading quality estimators are assessed as both quality and utility estimators and dismantled to understand those image characteristics that distinguish utility from quality. A newly proposed utility estimator demonstrates that a measure of contour degradation is sufficient to accurately estimate utility and is argued to be compatible with shape-based theories of object perception.     

On the Monitoring of Simple Linear Berkson Profiles

We consider the quality of a process, which can be characterized by a simple linear Berkson profile. One existing approach for monitoring the simple linear profile and two new proposed schemes are studied for charting the simple linear Berkson profile. Simulation studies demonstrate the effectiveness and efficiency of one of the proposed monitoring schemes. In addition, a systematic diagnostic approach is provided to spot the change point location of the process and to identify the parameter of change in the profile. Finally, an example from semiconductor manufacturing is used to illustrate the implementation of the proposed monitoring scheme and diagnostic approach. Copyright © 2012 John Wiley & Sons, Ltd.     

Comparison of Spectral and Wavelet Estimators of Transfer Function for Linear Systems

We compare spectral and wavelet estimators of the response amplitude operator (RAO) of a linear system, with various input signals and added noise scenarios. The comparison is based on a model of a heaving buoy wave energy device (HBWED), which oscillates vertically as a single mode of vibration linear system. HBWEDs and other single degree of freedom wave energy devices such as oscillating wave surge convertors (OWSC) are currently deployed in the ocean, making such devices important systems to both model and analyse in some detail. The results of the comparison relate to any linear system. It was found that the wavelet estimator of the RAO offers no advantage over the spectral estimators if both input and response time series data are noise free and long time series are available. If there is noise on only the response time series, only the wavelet estimator or the spectral estimator that uses the cross-spectrum of the input and response signals in the numerator should be used. For the case of noise on only the input time series, only the spectral estimator that uses the cross-spectrum in the denominator gives a sensible estimate of the RAO. If both the input and response signals are corrupted with noise, a modification to both the input and response spectrum estimates can provide a good estimator of the RAO. A combination of wavelet and spectral methods is introduced as an alternative RAO estimator. The conclusions apply for autoregressive emulators of sea surface elevation, impulse, and pseudorandom binary sequences (PRBS) inputs. However, a wavelet estimator is needed in the special case of a chirp input where the signal has a continuously varying frequency.     

一般增长曲线模型中随机回归系数线性估计的可容许性

本文在矩阵损失下研究了一般增长曲线模型中随机回归系数线性估计的可容许性。分别在齐次线性估计类和非齐次线性估计类中得到了随机回归系数的一个线性估计是可容许的充要条件。     

Identifying the period of a step change in high‐yield processes

Quality control charts have proven to be very effective in detecting out‐of‐control states. When a signal is detected a search begins to identify and eliminate the source(s) of the signal. A critical issue that keeps the mind of the process engineer busy at this point is determining the time when the process first changed. Knowing when the process first changed can assist process engineers to focus efforts effectively on eliminating the source(s) of the signal. The time when a change in the process takes place is referred to as the change point. This paper provides an estimator for a period of time in which a step change in the process non‐conformity proportion in high‐yield processes occurs. In such processes, the number of items until the occurrence of the first non‐conforming item can be modeled by a geometric distribution. The performance of the proposed model is investigated through several numerical examples. The results indicate that the proposed estimator provides a reasonable estimate for the period when the step change occurred at the process non‐conformity level. Copyright © 2009 John Wiley & Sons, Ltd.     

Semi-blind channel estimation for the uplink of multi-carrier code-division multiple access systems with timing offset

Timing offsets (TO) introduce misaligned interferences and phase errors, which degrade the performance of channel estimation. The authors propose a new semi-blind channel estimator that can cancel the TO effects on channel estimation and work well in the uplink of multi-carrier code-division multiple access systems in the presence of TO. The proposed channel estimator exploits the spreading sequence information instead of pilots to accomplish semi-blind estimation. Since the estimated channel coefficients are affected by the users? transmitted data, the effect of the users? data needs to be reduced. For this purpose, the authors also propose two smoothing algorithms, division smoothing and optimisation smoothing. In addition, to extend the new estimator to the system where the number of active users is too large, channel estimation over multiple symbols is discussed. The simulation results show that the proposed semi-blind estimator works better than a conventional estimator in the presence of TO, and its performance is very close to the conventional estimator in the absence of TO. Besides, the proposed estimator is compared with a sub-space estimator in simulation, and the results indicate that the new proposed estimator can achieve the same mean square error performance over the duration of a single symbol as the sub-space estimator over the duration of several symbols.     

Estimation of mean frequency and variance of ultrasonic Doppler signal by using second-order autoregressive model

In order to estimate the mean frequency and variance of the diagnostic ultrasound Doppler signal in the presence of clutter noise, a new estimator using a second-order autoregressive (AR) model, called the AR estimator, is proposed. The sampled signal that contains information of both the Doppler signal and clutter is described by the second-order AR model with two poles. The mean frequency and variance of a unidirectional Doppler signal can be estimated, respectively, from the phase and the magnitude of the pole, with larger phase between the two poles. If the clutter is not completely rejected, all conventional estimators, including the autocorrelation (AC) estimator, result in erroneous estimations for the mean frequency and variance of the Doppler signal, whereas the AR estimator gives an accurate estimation. In the absence of clutter, however, the performance of both the AC and AR estimators are similar. If the blood flows in both directions in a sample volume and the clutter is rejected to the extent that it no longer obscures the Doppler signal, the proposed method can estimate simultaneously the mean frequencies and variances of both the forward and reverse blood flows. The performance of the proposed AR estimator was compared with that of the AC estimator by computer simulations and experiments, and it was found that when the number of available sampled data is small, the AR estimator does not require the use of a clutter filter, which simplifies Doppler signal detection.     

New EWMA control charts for monitoring the Weibull shape parameter

In this article, we first propose a new exponentially weighted moving average (EWMA ) chart for monitoring the shape parameter of the Weibull distribution. The proposed chart is developed based on the EWMA of the normal random variable, which is transformed from the easy-to-understand chi-squared random variable. In contrast, the existing EWMA charts for monitoring the shape parameter use the sample range or the unbiased estimator of the shape parameter. Unfortunately, the EWMA chart generated from sample ranges is inefficient in detecting changes due to its lack of sufficiency, whereas the one produced using unbiased estimators of the shape parameter has a highly complicated distribution that is difficult to manipulate. Simulation studies are conducted to compare the effectiveness of the proposed EWMA chart and the two existing EWMA charts. Also, a maximum likelihood estimation method is employed to estimate the change point in the process for the proposed EWMA chart once an out-of-control (OC) signal has been triggered. Further, to reduce the time for detecting the OC signal, an EWMA chart with variable sampling intervals (VSIs) for monitoring the shape parameter is developed based on the proposed EWMA chart. This EWMA chart with VSIs is studied, and its performance is evaluated. Finally, an example to demonstrate the applicability and implementation of the proposed charts is provided.     

约束条件下的线性贝叶斯估计

本文提出等式约束下线性模型中回归参数的线性贝叶斯估计,证明其在均方误差矩阵准则下相对于约束最小二乘估计的优越性,并采用蒙特卡洛模拟和数值算例验证其优越性．