Extending the Three-Sigma Limit for Non-Gaussian Data Using Extreme Value Theory

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Authors: Chikara Nakamura, Masataka Toda, Masayuki Sakamoto, Norio Suzumura, Hiroyuki Toda
Cited by: 3
References: 21

Abstract

The three-sigma limit is a fundamental concept in quality control, ensuring that 99.865% (one-sided) or 99.73% (two-sided) of data fall within defined thresholds when the data follow a Gaussian distribution. However, the conventional interpretation of three-sigma limits may no longer be valid for non-Gaussian data. This discrepancy can result in inaccurate assessments of process capability and anomaly detection, ultimately undermining the reliability of quality control. In this paper, we propose a new method for setting three-sigma limits based on extreme value theory (EVT) that ensures the validity of the conventional quality control interpretation even for non-Gaussian data. Our proposed method, based on return levels within EVT, extends the conventional three-sigma limit. We demonstrate the effectiveness of our method through numerical experiments on both synthetic datasets and anomaly scores from AI-based visual inspection.

Fields of Study & Subjects

Financial Risk and Volatility Modeling Statistical Mechanics and Entropy Statistical Distribution Estimation and Applications

Publication details

Journal / source
IEEE Access
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Volume
14
Pages
18222–18234
Publication date
1 January 2026
Language
EN