Signed sequential rank CUSUMs

DOI10.1016/J.CSDA.2017.08.007zbMATH Open1469.62110arXiv1706.03901OpenAlexW2625132459MaRDI QIDQ1662058FDOQ1662058

Authors: Y. Aharonov 

Publication date: 17 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: CUSUMs based on the signed sequential ranks of observations are developed for detecting location and scale changes in symmetric distributions. The CUSUMs are distribution free and fully self-starting: given a specified in-control median and nominal in-control average run length, no parametric specification of the underlying distribution is required in order to find the correct control limits. If the underlying distribution is normal with unknown variance, a CUSUM based on the Van der Waerden signed rank score produces out-of-control average run lengths that are commensurate with those produced by the standard CUSUM for a normal distribution with known variance. For heavier tailed distributions, use of a CUSUM based on the Wilcoxon signed rank score is indicated. The methodology is illustrated by application to real data from an industrial environment.

Full work available at URL: https://arxiv.org/abs/1706.03901

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zbMATH Keywords

CUSUMdistribution-freesymmetric distributionsself startingsigned sequential ranks

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics in engineering and industry; control charts (62P30)

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Cited In (5)

• On sequentially adaptive signed-rank statistics
• Sequential rank CUSUMs for location and dispersion
• Counted Data CUSUM's
• Title not available (Why is that?)
• CUSUM multi-chart based on nonparametric likelihood approach for detecting unknown abrupt changes and its application for network data

Uses Software

• sn

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