The CUSUM Test with Observation-Adjusted Control Limits in Parameters Change Detection for the Extremely Heavy-Tailed Distributions Sequences
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866913583501148160 |
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| author | Tang, F. Han, D. |
| author_facet | Tang, F. Han, D. |
| contents | In this paper, we propose an new the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits (CUSUM-OAL) for monitoring quickly and adaptively the change in distribution of a sequential observations. We give the estimation of the in-control and the out-of-control average run lengths (ARLs) of the CUSUM-OAL test. The theoretical results are illustrated by numerical simulations in detecting $α$ shifts of the extreme heavy-tailed distribution observations sequence. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_14706 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The CUSUM Test with Observation-Adjusted Control Limits in Parameters Change Detection for the Extremely Heavy-Tailed Distributions Sequences Tang, F. Han, D. Applications In this paper, we propose an new the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits (CUSUM-OAL) for monitoring quickly and adaptively the change in distribution of a sequential observations. We give the estimation of the in-control and the out-of-control average run lengths (ARLs) of the CUSUM-OAL test. The theoretical results are illustrated by numerical simulations in detecting $α$ shifts of the extreme heavy-tailed distribution observations sequence. |
| title | The CUSUM Test with Observation-Adjusted Control Limits in Parameters Change Detection for the Extremely Heavy-Tailed Distributions Sequences |
| topic | Applications |
| url | https://arxiv.org/abs/2411.14706 |