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Article Dans Une Revue REVSTAT - Statistical Journal Année : 2019

THE CUSUM MEDIAN CHART FOR KNOWN AND ESTIMATED PARAMETERS

Résumé

The usual CUSUM chart for the mean (CUSUM- ̄X) is a chart used to quickly detectsmall to moderate shifts in a process. In presence of outliers, this chart is known to bemore robust than other mean-based alternatives like the Shewhart mean chart but itis nevertheless affected by these unusual observations because the mean ( ̄X) itself isaffected by the outliers. An outliers robust alternative to the CUSUM- ̄Xchart is theCUSUM median (CUSUM- ̃X) chart, because it takes advantage of the robust proper-ties of the sample median. This chart has already been proposed by other researchersand compared with other alternative charts in terms of robustness, but its performancehas only been investigated through simulations. Therefore, the goal of this paper isnot to carry out a robustness analysis but to study the effect of parameter estima-tion in the performance of the chart. We study the performance of the CUSUM- ̃Xchart using a Markov chain method for the computation of the distribution and themoments of the run length. Additionally, we examine the case of estimated parametersand we study the performance of the CUSUM- ̃Xchart in this case. The run lengthperformance of the CUSUM- ̃Xchart with estimated parameters is also studied usinga proper Markov chain technique. Conclusions and recommendations are also given.
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Dates et versions

hal-02190734 , version 1 (17-02-2020)

Identifiants

  • HAL Id : hal-02190734 , version 1

Citer

Philippe Castagliola, Fernanda Otilia Figueiredo, Petros Maravelakis. THE CUSUM MEDIAN CHART FOR KNOWN AND ESTIMATED PARAMETERS. REVSTAT - Statistical Journal, 2019, 17 (3), pp.345-370. ⟨hal-02190734⟩
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