Normal distribution i.e. N(0,1)
|
MA Sign |
171.7(169.5) |
35.8(34.4) |
7.3(5.5) |
3.4(1.8) |
2.3(1.0) |
1.5(0.6) |
1.2(0.4) |
1.1(0.2) |
1.0(0.1) |
11.74 |
0.45 |
119 |
25 |
6 |
3 |
2 |
2 |
1 |
1 |
1 |
EWMA Sign |
73.2(57.8) |
19.5(9.8) |
8.3(2.8) |
5.4(1.5) |
4.1(1.0) |
2.9(0.6) |
2.4(0.5) |
2.1(0.3) |
2(0.2) |
20.1 |
0.84 |
57 |
17 |
8 |
5 |
4 |
3 |
2 |
2 |
2 |
CUSUM sign |
92.8(80.9) |
20.8(11.8) |
8.3(2.8) |
5.4(1.3) |
4.3(0.8) |
3.3(0.5) |
3.0(0.2) |
3.0 (0.0) |
3.0 (0.0) |
26.5 |
1.21 |
68 |
18 |
8 |
5 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
74.2(39.2) |
31.2(8.0) |
18.5(2.9) |
13.9(1.8) |
11.4(1.3) |
8.9(0.8) |
7.8 (0.6) |
7.3(0.5) |
7.1(0.3) |
64.6 |
4.15 |
64 |
30 |
18 |
14 |
11 |
9 |
8 |
7 |
7 |
EWMA-MA sign |
64.1(55.7)
|
15.8(10.5)
|
5.9(3.6)
|
3.1(2.1)
|
1.9(1.2)
|
1.2(0.4)
|
1.0(0.1)
|
1.0(0.0)
|
1.0(0.0)
|
9.9
|
0
|
49
|
14
|
6
|
3
|
1
|
1
|
1
|
1
|
1
|
Student’s t-distribution with df = 5
|
MA Sign |
132.9(131.2) |
22.5(20.5) |
5.0(3.3) |
2.7(1.2) |
2.0(0.8) |
1.5(0.5) |
1.2(0.4) |
1.1(0.3) |
1.1(0.2) |
11.19 |
0.46 |
93 |
16 |
4 |
3 |
2 |
1 |
1 |
1 |
1 |
EWMA Sign |
54.7 (40.4) |
15.1 (6.8) |
6.8 (2.1) |
4.6 (1.2) |
3.6 (0.9) |
2.8 (0.6) |
2.4 (0.5) |
2.2 (0.4) |
2.1 (0.3) |
19.9 |
0.96 |
44 |
14 |
7 |
5 |
3 |
3 |
2 |
2 |
2 |
CUSUM sign |
65.3(54.0) |
15.5(7.6) |
6.8(2.0) |
4.7(1.0) |
3.9(0.7) |
3.2(0.4) |
3.0(0.2) |
3.0(0.1) |
3.0(0.0) |
25.8 |
1.31 |
49 |
14 |
6 |
4 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
59.7(26.9) |
26.8(5.9) |
16.2(2.3) |
12.4(1.5) |
10.5(1.1) |
8.7(0.7) |
7.9(0.6) |
7.5(0.5) |
7.3(0.5) |
64.7 |
4.58 |
54 |
26 |
16 |
12 |
10 |
9 |
8 |
8 |
7 |
EWMA-MA sign |
47.2(42.1)
|
11.9(7.5)
|
4.4(2.7)
|
2.3(1.5)
|
1.5(0.9)
|
1.1(0.4)
|
1.0(0.2)
|
1.0(0.1)
|
1.0(0.0)
|
9.3
|
0
|
36
|
11
|
4
|
2
|
1
|
1
|
1
|
1
|
1
|
Laplace distribution i.e.
|
MA Sign |
80.9(78.7) |
13.1(11.6) |
3.9(2.3) |
2.5(1.1) |
1.9(0.8) |
1.5 (0.6) |
1.3 (0.4) |
1.1 (0.3) |
1.1(0.3) |
10.78 |
0.41 |
57 |
10 |
3 |
2 |
2 |
1 |
1 |
1 |
1 |
EWMA Sign |
35.1 (22.7) |
11.4 (4.5) |
5.9 (1.7) |
4.3 (1.1) |
3.5 (0.8) |
2.8 (0.6) |
2.5 (0.5) |
2.3 (0.4) |
2.1 (0.3) |
20.0 |
0.99 |
29 |
11 |
6 |
4 |
3 |
3 |
2 |
2 |
2 |
CUSUM sign |
39.3(28.1) |
11.5(4.7) |
5.9(1.6) |
4.5(0.9) |
3.8(0.6) |
3.3(0.5) |
3.1(0.2) |
3.0(0.1) |
3.0(0.0) |
25.7 |
1.34 |
32 |
11 |
6 |
4 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
44.5(15.6) |
22.5(4.2) |
14.8(2.0) |
11.9(1.4) |
10.4(1.1) |
8.8(0.8) |
8.0 (0.6) |
7.6(0.5) |
7.4(0.5) |
65.0 |
4.76 |
41 |
22 |
15 |
12 |
10 |
9 |
8 |
8 |
7 |
EWMA-MA sign |
29.4(22.1)
|
8.6(5.3)
|
3.6(2.3)
|
2.1(1.4)
|
1.5(0.8)
|
1.1(0.4)
|
1.0(0.2)
|
1.0(0.1)
|
1.0(0.0)
|
9.0
|
0
|
24
|
8
|
3
|
2
|
1
|
1
|
1
|
1
|
1
|
Logistic distribution i.e.
|
MA Sign |
149.4(148.0) |
26.8(24.5) |
5.7(4.0) |
2.9(1.4) |
2.1(0.8) |
1.5(0.6) |
1.2(0.4) |
1.1(0.3) |
1.0(0.2) |
11.16 |
0.43 |
102 |
19 |
5 |
3 |
2 |
1 |
1 |
1 |
1 |
EWMA Sign |
60.4(45.8) |
16.6(7.9) |
7.3(2.4) |
4.9(1.3) |
3.8(0.9) |
2.8(0.6) |
2.4(0.5) |
2.2(0.4) |
2.1(0.3) |
20.2 |
0.91 |
48 |
15 |
7 |
5 |
4 |
3 |
2 |
2 |
2 |
CUSUM sign |
74.5(63.1) |
17.1(8.9) |
7.3(2.3) |
5.0(1.2) |
4.1(0.7) |
3.3(0.5) |
3.0(0.2) |
3.0(0.1) |
3.0(0.0) |
26.1 |
1.27 |
55 |
15 |
7 |
5 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
64.7(30.8) |
28.3(6.5) |
17.1(2.5) |
13.0(1.6) |
10.9(1.2) |
8.8(0.8) |
7.9(0.6) |
7.5(0.5) |
7.2(0.4) |
64.8 |
4.43 |
57 |
27 |
17 |
13 |
11 |
9 |
8 |
7 |
7 |
EWMA-MA sign |
55.5(43.6)
|
13.4(8.5)
|
4.8(3.0)
|
2.6(1.7)
|
1.7(1.0)
|
1.1(0.4)
|
1.0(0.2)
|
1.0(0.1)
|
1.0(0.0)
|
9.5
|
0
|
45
|
12
|
5
|
2
|
1
|
1
|
1
|
1
|
1
|
Contaminated Normal distribution with a 10% contamination proportion
|
MA Sign |
152.2(151.5) |
29.1(27.0) |
6.1(4.4) |
3.1(1.6) |
2.2(0.9) |
1.5(0.6) |
1.2(0.4) |
1.1(0.2) |
1.0(0.1) |
11.33 |
0.46 |
106 |
21 |
5 |
3 |
2 |
1 |
1 |
1 |
1 |
EWMA Sign |
64.0(49.6) |
17.4(8.4) |
7.6(2.5) |
5.0(1.4) |
3.9(1) |
2.8(0.6) |
2.4(0.5) |
2.1(0.3) |
2(0.2) |
19.8 |
0.89 |
50 |
16 |
7 |
5 |
4 |
3 |
2 |
2 |
2 |
CUSUM sign |
78.3(66.7) |
18.1(9.7) |
7.6(2.5) |
5.1(1.2) |
4.1(0.7) |
3.3(0.5) |
3.0(0.2) |
3.0(0.0) |
3.0(0.0) |
26.2 |
1.27 |
58 |
16 |
7 |
5 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
67.5(33.1) |
29.2(6.9) |
17.4(2.6) |
13.3(1.7) |
11.0(1.2) |
8.8(0.8) |
7.8(0.6) |
7.3(0.5) |
7.1(0.2) |
64.1 |
4.33 |
59 |
28 |
17 |
13 |
11 |
9 |
8 |
7 |
7 |
EWMA-MA sign |
54.5(47.2)
|
14.0(9.0)
|
5.1(3.2)
|
2.7(1.8)
|
1.8(1.1)
|
1.1(0.4)
|
1.0(0.1)
|
1.0(0.0)
|
1.0(0.0)
|
9.6
|
0
|
44
|
13
|
5
|
2
|
1
|
1
|
1
|
1
|
1
|
Gamma distribution, i.e., Gamma(3,1)
|
MA Sign |
160.3(159.0) |
32.5(30.5) |
7.1(5.3) |
3.4(1.9) |
2.4(1.0) |
1.6(0.6) |
1.3(0.5) |
1.1(0.3) |
1.0(0.2) |
11.9 |
0.46 |
113 |
23 |
5 |
3 |
2 |
2 |
1 |
1 |
1 |
EWMA Sign |
68.1(53.4) |
18.5(9.2) |
8.2(2.8) |
5.4(1.5) |
4.2(1.1) |
3(0.7) |
2.5(0.6) |
2.2(0.4) |
2.1(0.3) |
20.9 |
0.88 |
53 |
17 |
8 |
5 |
4 |
3 |
3 |
2 |
2 |
CUSUM sign |
84.1(72.7) |
19.4(10.6) |
8.2(2.7) |
5.5(1.4) |
4.3(0.9) |
3.4(0.5) |
3.1(0.3) |
3.0(0.1) |
3.0(0.0) |
26.6 |
1.22 |
62 |
17 |
8 |
5 |
4 |
3 |
3 |
3 |
3 |
EWMA-CUSUM sign |
70.4(35.7) |
30.3(7.4) |
18.3(2.9) |
14.0(1.8) |
11.7(1.3) |
9.2(0.9) |
8.2(0.6) |
7.6(0.5) |
7.3(0.4) |
66.7 |
4.29 |
61 |
29 |
18 |
14 |
12 |
9 |
8 |
8 |
7 |
EWMA-MA sign |
59.9(49.8)
|
15.1(10.0)
|
5.6(3.5)
|
3.1(2.1)
|
2.0(1.3)
|
1.2(0.5)
|
1.0(0.2)
|
1.0(0.1)
|
1.0(0.0)
|
9.9
|
0
|
47
|
13
|
6
|
3
|
2
|
1
|
1
|
1
|
1
|
Weibull distribution, i.e., Weibull(2,1)
|
MA Sign |
198.4(197.0) |
53.8(52.3) |
14.0(12.0) |
6.6(4.9) |
4.4(2.7) |
2.8(1.3) |
2.2(0.9) |
2.0(0.8) |
1.8(0.7) |
20.95 |
0.54 |
137 |
37 |
10 |
5 |
4 |
3 |
2 |
2 |
2 |
EWMA Sign |
89.7 (74.1) |
25.5 (14.7) |
11.6 (4.6) |
7.9 (2.6) |
6.3 (1.9) |
4.7 (1.3) |
4.0 (1.0) |
3.5 (0.9) |
3.3 (0.8) |
32.5 |
0.74 |
68 |
22 |
11 |
8 |
6 |
5 |
4 |
3 |
3 |
CUSUM sign |
113.2(102.9) |
27.8(17.5) |
11.7(4.9) |
7.9(2.6) |
6.3(1.8) |
4.8(1.1) |
4.2(0.8) |
3.8(0.6) |
3.6(0.6) |
34.6 |
0.85 |
82 |
23 |
11 |
8 |
6 |
5 |
4 |
4 |
4 |
EWMA-CUSUM sign |
86.6(48.3) |
36.8(11.0) |
22.8(4.3) |
18.0(2.8) |
15.4(2.1) |
12.7(1.5) |
11.2(1.3) |
10.4(1.1) |
9.7(1.0) |
89.7 |
3.26 |
74 |
35 |
22 |
18 |
15 |
13 |
11 |
10 |
10 |
EWMA-MA sign |
82.7(76.2)
|
21.6(15.5)
|
8.8(5.3)
|
5.4(3.4)
|
3.9(2.5)
|
2.5(1.6)
|
1.8(1.1)
|
1.5(0.8)
|
1.3(0.7)
|
15.6
|
0
|
60
|
18
|
8
|
5
|
3
|
2
|
1
|
1
|
1
|