A New Model-Free CuSum Procedure for Autocorrelated Processes
نویسندگان
چکیده
We present a new CuSum chart for monitoring shifts in the mean of autocorrelated data. The monitoring statistic is the plain cumulative sum of differences between the observations and the target value, and the control limits are a function of the asymptotic variance constant and target in-control average run length. Our method uses a variety of non-parametric techniques that are popular in the simulation literature to estimate the asymptotic variance constant. The proposed method is completely model-free and its control limits are derived based on the asymptotic behavior of the monitoring statistic. We compare our new procedure with other competitive model-free methods using examples based on AR(1) data.
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