Hackl, Peter and Maderbacher, Michael
On the Robustness of the Rank-Based CUSUM Chart against Autocorrelation.
Forschungsberichte / Institut für Statistik, 63.
Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.
Even a modest positive autocorrelation results in a considerable increase in the number of false alarms that are produced when applying a CUSUM chart. Knowledge of the process to be controlled allows for suitable adaptation of the CUSUM procedure. If one has to suspect the normality assumption, nonparametric control procedures such as the rank-based CUSUM chart are a practical alternative. The paper reports the results of a simulation study on the robustness (in terms of sensitivity of the ARL) of the rank-based CUSUM chart against serial correlation of the control variable. The results indicate that the rank-based CUSUM chart is less affected by correlation than the observation-based chart: The rank-based CUSUM chart shows a smaller increase in the number of false alarms and a higher decrease in the ARL in the out-of-control case than the the observation-based chart. (author's abstract)