Kernel-Based Multivariate Nonparametric CUSUM Multi-Chart for Detection of Abrupt Changes

Abstract

In many cases, it is difficult to obtain precise distributional information on multivariate sequences. Therefore, there is a need to propose nonparametric methods for monitoring multivariate sequences. This article discusses the multivariate change detection problem and utilizes the kernel function as the statistic to construct the nonparametric Multivariate Cumulative Sum multi-chart, under the assumption that there is prior information about the abrupt changes. Through theoretical and numerical analysis, we show that the proposed control chart is more effective compared to other existing control charts. The good monitoring effect of this method demonstrates a strong potential for application.