CUSUM procedures based on sequential ranks / Corli van Zyl

• Main Author: Van Zyl, Corli
• Language: en
• Published: 2016
• Subjects: CUSUM; Distribution-free; Sequential rank; Symmetric distribution; Location change; Dispersion change
• Online Access: http://hdl.handle.net/10394/15733

The main objective of this dissertation is the development of CUSUM procedures based on signed and unsigned sequential ranks. These CUSUMs can be applied to detect changes in the location or dispersion of a process. The signed and unsigned sequential rank CUSUMs are distribution-free and robust against the effect of outliers in the data. The only assumption that these CUSUMs require is that the in-control distribution is symmetric around a known location parameter. These procedures specifically do not require the existence of any higher order moments. Another advantage of these CUSUMs is that Monte Carlo simulation can readily be applied to deliver valid estimates of control limits, irrespective of what the underlying distribution may be. Other objectives of this dissertation include a brief discussion of the results and refinements of the CUSUM in the literature. We justify the use of a signed sequential rank statistic. Also, we evaluate the relative efficiency of the suggested procedure numerically and provide three real-world applications from the engineering and financial industries. === MSc (Risk Analysis), North-West University, Potchefstroom Campus, 2015