A note on efficient performance evaluation of the cumulative sum chart and the sequential probability ratio test

DOI10.1002/ASMB.2181zbMATH Open1415.90034arXiv1605.04772OpenAlexW2962954450MaRDI QIDQ4620149FDOQ4620149

Authors: Aleksey S. Polunchenko 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Abstract: We establish a simple connection between certain in-control characteristics of the CUSUM Run Length and their out-of-control counterparts. The connection is in the form of paired integral (renewal) equations. The derivation exploits Wald's likelihood ratio identity and the well-known fact that the CUSUM chart is equivalent to repetitive application of Wald's SPRT. The characteristics considered include the entire Run Length distribution and all of the corresponding moments, starting from the zero-state ARL. A particular practical benefit of our result is that it enables the in- and out-of-control characteristics of the CUSUM Run Length to be computed concurrently. Moreover, due to the equivalence of the CUSUM chart to a sequence of SPRTs, the ASN and OC functions of an SPRT under the null and under the alternative can all be computed simultaneously as well. This would double up the efficiency of any numerical method one may choose to devise to carry out the actual computations.

Full work available at URL: https://arxiv.org/abs/1605.04772

Recommendations

• scientific article; zbMATH DE number 1275305
• scientific article; zbMATH DE number 3864323
• On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
• Performance analysis of sequential probability ratio test
• scientific article; zbMATH DE number 2205928

zbMATH Keywords

control chartssequential analysisquality controlintegral equationssequential probability ratio testcumulative sum chart

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Models and methods for concurrent and distributed computing (process algebras, bisimulation, transition nets, etc.) (68Q85)

Cited In (2)

• Title not available (Why is that?)
• Performance analysis of sequential probability ratio test

This page was built for publication: A note on efficient performance evaluation of the cumulative sum chart and the sequential probability ratio test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620149)