A new nonparametric monitoring of data streams for changes in location and scale via Cucconi statistic
Dongdong Xiang,
Shulin Gao,
Wendong Li,
Xiaolong Pu and
Wen Dou
Journal of Nonparametric Statistics, 2019, vol. 31, issue 3, 743-760
Abstract:
Many distribution-free control charts have been proposed for jointly monitoring location and scale parameters of a continuous distribution when their in-control (IC) status are unknown in advance. Unfortunately, most existing methods require relatively large amount of historical observations to estimate the IC parameters or to activate the control chart, and batch observations to construct the charting statistic. When such assumptions are invalid, they may not be reliable for online monitoring. In this paper, we propose a novel distribution-free control chart for joint monitoring of location and scale parameters with extremely small IC sample size. The proposed control chart integrates the Cucconi test into the framework of change-point detection and exponentially weighted moving average strategy. It requires no prior knowledge of the underlying distribution, and is very robust in start-up situations. Comprehensive numerical results show that the proposed chart is superior to its competitors.
Date: 2019
References: Add references at CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/10.1080/10485252.2019.1632307 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:31:y:2019:i:3:p:743-760
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20
DOI: 10.1080/10485252.2019.1632307
Access Statistics for this article
Journal of Nonparametric Statistics is currently edited by Jun Shao
More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().