Autor(en): | Abbas, Sermad Fried, Roland |
Titel: | Control charts for the mean based on robust two-sample tests |
Sprache (ISO): | en |
Zusammenfassung: | We propose and investigate robust control charts for the detection of sudden shifts in sequences of very noisy observations with a naturally slowly varying mean. They sequentially apply local two-sample tests for the location problem. Thus, no previous knowledge about the in-control behaviour is necessary. We identify critical values for the tests to achieve a desired in-control average run length (ARL_0) with extensive simulations. Control charts based on nonparametric tests or a randomization principle provide a satisfactory run length behaviour for different error distributions. They possess a nearly distribution-free ARL_0 and are fast in detecting present signal jumps in a time series. In our simulations and exemplary real-world applications from biosignal analysis, a test based on the two-sample Hodges-Lehmann estimator leads to very promising results regarding distribution independence, robustness and detection speed. |
Schlagwörter: | biosignal analysis monitoring two-sample tests time series robust control charts change-point detection |
URI: | http://hdl.handle.net/2003/34951 http://dx.doi.org/10.17877/DE290R-16999 |
Erscheinungsdatum: | 2016 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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DP_2116_SFB823_Abbas_Fried.pdf | DNB | 484.85 kB | Adobe PDF | Öffnen/Anzeigen |
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