Change Point Detection with Robust Control Chart

Table 2

Simulation result: estimates of expected length, average change point, standard error, average size of confidence set and coverage probability for change point of 𝜏=100 (normal distribution).

	X-Bar chart			Median chart			Proposed MM chart
	Magnitude of shift, 𝛿			Magnitude of shift, 𝛿			Magnitude of shift, 𝛿
	𝛿=1.0	𝛿=2.0	𝛿=3.0	𝛿=1.0	𝛿=2.0	𝛿=3.0	𝛿=1.0	𝛿=2.0	𝛿=3.0
Expected length, E(T)	156.75	106.88	102.05	257.05	108.30	102.16	198.14	107.60	102.14
𝜏	100.00	99.60	99.47	99.70	99.49	99.57	99.90	99.42	99.59
Standard error (𝜏)	3.55	2.04	2.43	4.29	2.60	2.18	3.70	2.76	2.16
Average size, CS	14.00	5.90	4.08	16.20	6.69	4.13	15.80	6.13	4.29
Coverage probability	0.897	0.959	0.984	0.901	0.953	0.979	0.901	0.956	0.981