Performance comparison of some likelihood ratio-based statistical surveillance methods

Mahmoud Mahmoud, William Woodall and Robert Davis

Journal of Applied Statistics, 2008, vol. 35, issue 7, 783-798

Abstract: 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.

Keywords: CUSUM chart; likelihood ratio; Shiryayev-Roberts chart; Shewhart chart; statistical process control; statistical surveillance (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1080/02664760802005878

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