Sequential Rank Shiryaev-Roberts CUSUMs

06/20/2019

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by   C van Zyl, et al.

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We develop Shiryaev-Roberts type CUSUMs based on signed sequential ranks to detect changes in location and dispersion of a continuous distribution. The CUSUMs are distribution-free, hence do not require a parametric specification of an underlying density function. Tables of control limits are provided. The out-of-control average run length properties of the CUSUMs are gauged via theory-based calculations and Monte Carlo simulation. Implementation of the methodology is illustrated in an application to data from an industrial environment.