Likelihood ratio-based distribution-free sequential change-point detection

摘要

Most existing control charts are for monitoring location or scale parameters, rather than any change in process distribution such as shift in shape. Goodness-of-fit (GOF) test can detect any change in distribution. This paper develops a new distribution-free control chart by integrating a powerful two-sample nonparametric likelihood ratio GOF test into the effective change-point model. Our proposed chart is easy in computation, convenient to use, and very efficient in detecting any change in process distribution, including shifts in location, scale, and shape. It is also robust in detecting various magnitudes of shifts and especially powerful in monitoring any distributional change involving a decrease in scale.