Bayes Estimation of Shift Point in Normal Sequence and Its Application to Statistical Process Control
A sequence of independent observations X 1, X 2, …, X m , X m+1, …, X n was observed on some measurable characteristic X in statistical process control. The shift in process mean is reflected in the sequence after X m . The Bayes estimators of shift point m, and past and future process means, μ1 and μ2, are derived using various priors and loss functions. An application in statistical process control is given and a simulation study of the estimators is carried out.