Performance comparison of some likelihood ratio-based statistical surveillance methods

被引：15

作者：

Mahmoud, Mahmoud A. ^{[1
]}

Woodall, William H. ^{[2
]}

Davis, Robert E. ^{[3
]}

机构：

[1] Cairo Univ, Fac Econ & Polit Sci, Dept Stat, Cairo, Egypt

[2] Virginia Tech, Dept Stat, Blacksburg, VA USA

[3] TransUnion CRIF, Tampa, FL USA

来源：

JOURNAL OF APPLIED STATISTICS | 2008年 / 35卷 / 07期

关键词：

CUSUM chart; likelihood ratio; Shiryayev-Roberts chart; Shewhart chart; statistical process control; statistical surveillance;

D O I：

10.1080/02664760802005878

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using Markov chain representations, we evaluate and compare the performance of cumulative sum (CUSUM) and Shiryayev-Roberts methods in terms of the zero- and steady-state average run length and worst-case signal resistance measures. We also calculate the signal resistance values from the worst- to the best-case scenarios for both the methods. Our results support the recommendation that Shewhart limits be used with CUSUM and Shiryayev-Roberts methods, especially for low values of the size of the shift in the process mean for which the methods are designed to detect optimally.

引用

页码：783 / 798

页数：16

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