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A distribution-free tabular CUSUM chart is designed to detect shifts in the mean of an autocorrelated process. The chart’s average run length (ARL) is approximated by gener-alizing Siegmund’s ARL approximation for the conventional tabular CUSUM chart based on independent and identically distributed normal observations. Control limits for the new chart are computed from the generalized ARL approximation. Also discussed are the choice of reference value and the use of batch means to handle highly correlated processes. The new chart is compared with other distribution-free procedures using stationary test processes with both normal and nonnormal marginals.
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Kim et al. (2006) studied this question.
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