A two-step robust estimation of the process mean using M-estimator

Hamid Shahriari, Orod Ahmadi and Amir H. Shokouhi

Journal of Applied Statistics, 2011, vol. 38, issue 6, 1289-1301

Abstract: Parameter estimation is the first step in constructing control charts. One of these parameters is the process mean. The classical estimators of the process mean are sensitive to the presence of outlying data and subgroups which contaminate the whole data. In existing robust estimators for the process mean, the effects of the presence of the individual outliers are being considered, while, in this paper, a robust estimator is being proposed to reduce the effect of outlying subgroups as well as the individual outliers within a subgroup. The proposed estimator was compared with some classical and robust estimators of the process mean. Although, its relative efficiency is fourth among the estimators tested, its robustness and efficiency are large when the outlying subgroups are present. Evaluation of the results indicated that the proposed estimator is less sensitive to the presence of outliers and the process mean performs well when there are no individual outliers or outlying subgroups.

Date: 2011
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DOI: 10.1080/02664763.2010.498502

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