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Computation of the run-length percentiles of CUSUM control charts under changes in variances
Shu L.1; Huang W.1; Su Y.1; Tsui K.-L.2
2013-07-01
Source PublicationJournal of Statistical Computation and Simulation
ISSN00949655 15635163
Volume83Issue:7Pages:1238-1251
Abstract

In this paper, the run-length distributions of cumulative sum (CUSUM) charts for monitoring mean changes under normal distributions have been investigated thoroughly. However, there are few studies devoted to the analysis of the run-length distributions of CUSUM charts under changes in process variances. Motivated by this, this paper develops a fast and accurate algorithm based on piecewise collocation method for computing the run-length distributions of CUSUM scale charts. It is shown that the proposed method can provide more accurate approximation to the run-length distribution than the conventional Gauss-type quadrature-based methods applied to the CUSUM location charts. Some computational aspects for facilitating computation load are discussed, including the alternative formulation based on matrix decomposition and the geometric approximation to the distribution of large run lengths.

KeywordAverage Run Length Integral Equation Integration Kernel Statistical Process Control Variance
DOI10.1080/00949655.2012.656643
URLView the original
Indexed BySCIE
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Interdisciplinary Applications ; Statistics & Probability
WOS IDWOS:000321690600004
PublisherTAYLOR & FRANCIS LTD2-4 PARK SQUARE, MILTON PARK, ABINGDON OR14 4RN, OXON, ENGLAND
Scopus ID2-s2.0-84880320174
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Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
DEPARTMENT OF ELECTROMECHANICAL ENGINEERING
Corresponding AuthorShu L.
Affiliation1.Faculty of Business Administration , University of Macau , Taipa, Macau , People's Republic of China
2.Faculty of Business Administration , University of Macau , Taipa, Macau , People's Republic of China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Shu L.,Huang W.,Su Y.,et al. Computation of the run-length percentiles of CUSUM control charts under changes in variances[J]. Journal of Statistical Computation and Simulation, 2013, 83(7), 1238-1251.
APA Shu L.., Huang W.., Su Y.., & Tsui K.-L. (2013). Computation of the run-length percentiles of CUSUM control charts under changes in variances. Journal of Statistical Computation and Simulation, 83(7), 1238-1251.
MLA Shu L.,et al."Computation of the run-length percentiles of CUSUM control charts under changes in variances".Journal of Statistical Computation and Simulation 83.7(2013):1238-1251.
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