Signed sequential rank CUSUMs

DOI10.1016/J.CSDA.2017.08.007MaRDI QIDQ1662058zbMATHOpenAlexFDO

Authors Y. Aharonov

Publication date 17 August 2018

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

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

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)

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.

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Cited in

(5)

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• CUSUM multi-chart based on nonparametric likelihood approach for detecting unknown abrupt changes and its application for network data
• Sequential rank CUSUMs for location and dispersion
• Counted Data CUSUM's
• On sequentially adaptive signed-rank statistics

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