Non-Restarting CUSUM charts and Control of the False Discovery Rate

Details Non-Restarting CUSUM charts and Control of the False Discovery Rate Non-Restarting CUSUM charts and Control of the False Discovery Rate

2012-04-19

arxiv.org/abs/1204.4333v1

Statistics

Methodology

10 pages, 2 figures

Scientific paper

Cumulative sum (CUSUM) charts are typically used to detect changes in a stream of observations e.g. shifts in the mean. Usually, after signalling, the chart is restarted by setting it to some value below the signalling threshold. We propose a non-restarting CUSUM chart which is able to detect periods during which the stream is out of control. Further, we advocate an upper boundary to prevent the CUSUM chart rising too high, which helps detecting a change back into control. We present a novel algorithm to control the false discovery rate (FDR) pointwise in time when considering CUSUM charts based on multiple streams of data. We prove that the FDR is controlled under two definitions of a false discovery simultaneously. Simulations reveal the difference in FDR control when using these two definitions and other desirable definitions of a false discovery.

Affiliated with

Also associated with

No associations

Rating

Non-Restarting CUSUM charts and Control of the False Discovery Rate does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Non-Restarting CUSUM charts and Control of the False Discovery Rate, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Non-Restarting CUSUM charts and Control of the False Discovery Rate will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-34932