IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v296y2022i3p873-899.html
   My bibliography  Save this article

The performance of the hypergeometric np chart with estimated parameter

Author

Listed:
  • Johannssen, Arne
  • Chukhrova, Nataliya
  • Castagliola, Philippe

Abstract

Although it is well known that the performance of attribute control charts decreases significantly when the assumption of known process parameters is invalid, this assumption is prevalent in the pertinent literature. However, in most practical applications, the process parameters have to be estimated from a finite in-control Phase I sample, and therefore the performance of attribute control charts should be evaluated from the perspective of estimated process parameters. In this paper, we compare the run length properties of the hypergeometric np chart in both the known and estimated parameter cases. In particular, we investigate the required number of Phase I samples and new specific chart parameters that allow the hypergeometric np chart with estimated parameter p to have approximately the same in-control performance as in the known parameters case. Moreover, we perform a comprehensive in-control and out-of-control comparison of the hypergeometric np chart with its binomial counterpart. In order to achieve these objectives, we also present a new approach to effectively compute the probability distribution of the sum of independent and identically hypergeometric-distributed random variables. The proposed approximation reduces the computational effort to a few seconds while keeping a remarkable high accuracy with only negligible deviations compared to the exact distribution obtained via convolution.

Suggested Citation

  • Johannssen, Arne & Chukhrova, Nataliya & Castagliola, Philippe, 2022. "The performance of the hypergeometric np chart with estimated parameter," European Journal of Operational Research, Elsevier, vol. 296(3), pages 873-899.
  • Handle: RePEc:eee:ejores:v:296:y:2022:i:3:p:873-899
    DOI: 10.1016/j.ejor.2021.06.056
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377221721005877
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.ejor.2021.06.056?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Maravelakis, Petros & Panaretos, John & Psarakis, Stelios, 2002. "Effect of Estimation of the Process Parameters on the Control Limits of the Univariate Control Charts for Process Dispersion," MPRA Paper 6386, University Library of Munich, Germany.
    2. Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, September.
    3. Philippe Castagliola & Pedro Carlos Oprime & Michael B. C. Khoo, 2017. "The double sampling S2 chart with estimated process variance," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(7), pages 3556-3573, April.
    4. Maravelakis, Petros E. & Castagliola, Philippe, 2009. "An EWMA chart for monitoring the process standard deviation when parameters are estimated," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2653-2664, May.
    5. S. Chakraborti & S. W. Human, 2008. "Properties and performance of the c-chart for attributes data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(1), pages 89-100.
    6. Song, Zhi & Mukherjee, Amitava & Liu, Yanchun & Zhang, Jiujun, 2019. "Optimizing joint location-scale monitoring – An adaptive distribution-free approach with minimal loss of information," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1019-1036.
    7. Ming Ha Lee & Michael B C Khoo & XinYing Chew & Patrick H H Then, 2020. "Economic-statistical design of synthetic np chart with estimated process parameter," PLOS ONE, Public Library of Science, vol. 15(4), pages 1-11, April.
    8. Mitra, Amitava & Lee, Kang Bok & Chakraborti, Subhabrata, 2019. "An adaptive exponentially weighted moving average-type control chart to monitor the process mean," European Journal of Operational Research, Elsevier, vol. 279(3), pages 902-911.
    9. XueLong Hu & Philippe Castagliola & XiaoJian Zhou & AnAn Tang, 2019. "Conditional design of the EWMA median chart with estimated parameters," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(8), pages 1871-1889, April.
    10. De Pril, Nelson, 1985. "Recursions for Convolutions of Arithmetic Distributions," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 135-139, November.
    11. Faraz, Alireza & Heuchenne, Cedric & Saniga, Erwin, 2017. "The np Chart With Guaranteed In-control Average Run Lengths," LIDAM Discussion Papers ISBA 2017032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Teoh, W.L. & Khoo, Michael B.C. & Castagliola, Philippe & Yeong, W.C. & Teh, S.Y., 2017. "Run-sum control charts for monitoring the coefficient of variation," European Journal of Operational Research, Elsevier, vol. 257(1), pages 144-158.
    13. Faraz, Alireza & Heuchenne, Cedric & Saniga, Erwin, 2017. "The np Chart with Guaranteed In-control Average Run Lengths," LIDAM Reprints ISBA 2017044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    14. Shu Wu & Philippe Castagliola & Michael B. C. Khoo, 2016. "Run rules based phase II c and np charts when process parameters are unknown," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(4), pages 1182-1197, February.
    15. Subha Chakraborti, 2006. "Parameter estimation and design considerations in prospective applications of the X chart," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(4), pages 439-459.
    16. Song, Zhi & Mukherjee, Amitava & Zhang, Jiujun, 2021. "Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment," European Journal of Operational Research, Elsevier, vol. 289(1), pages 177-196.
    17. Filho, Danilo Marcondes & Valk, Marcio, 2020. "Dynamic VAR model-based control charts for batch process monitoring," European Journal of Operational Research, Elsevier, vol. 285(1), pages 296-305.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. M. Cristina Molinari, 2024. "Much ado about nothing: voting in sixteenth-century Republic of Genoa," Constitutional Political Economy, Springer, vol. 35(2), pages 327-348, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nguyen, H.D. & Tran, K.P. & Tran, K.D., 2021. "The effect of measurement errors on the performance of the Exponentially Weighted Moving Average control charts for the Ratio of Two Normally Distributed Variables," European Journal of Operational Research, Elsevier, vol. 293(1), pages 203-218.
    2. Song, Zhi & Mukherjee, Amitava & Zhang, Jiujun, 2021. "Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment," European Journal of Operational Research, Elsevier, vol. 289(1), pages 177-196.
    3. Ming Ha Lee & Michael B C Khoo & XinYing Chew & Patrick H H Then, 2020. "Economic-statistical design of synthetic np chart with estimated process parameter," PLOS ONE, Public Library of Science, vol. 15(4), pages 1-11, April.
    4. Jin, Ting & Zhu, Yuanguo, 2020. "First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    5. Dhaene, Jan & Vandebroek, Martina, 1995. "Recursions for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 31-38, April.
    6. Wu, Xiangling & Ding, Shusheng, 2023. "The impact of the Bitcoin price on carbon neutrality: Evidence from futures markets," Finance Research Letters, Elsevier, vol. 56(C).
    7. Griffin, Philip S., 2020. "General tax structures for a Lévy insurance risk process under the Cramér condition," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1368-1387.
    8. Huwang, Longcheen & Huang, Chun-Jung & Wang, Yi-Hua Tina, 2010. "New EWMA control charts for monitoring process dispersion," Computational Statistics & Data Analysis, Elsevier, vol. 54(10), pages 2328-2342, October.
    9. Anita Behme & Philipp Lukas Strietzel, 2021. "A $$2~{\times }~2$$ 2 × 2 random switching model and its dual risk model," Queueing Systems: Theory and Applications, Springer, vol. 99(1), pages 27-64, October.
    10. Alessandro Barbiero & Asmerilda Hitaj, 2024. "Discrete half-logistic distributions with applications in reliability and risk analysis," Annals of Operations Research, Springer, vol. 340(1), pages 27-57, September.
    11. Bersimis, Sotiris & Koutras, Markos V. & Maravelakis, Petros E., 2014. "A compound control chart for monitoring and controlling high quality processes," European Journal of Operational Research, Elsevier, vol. 233(3), pages 595-603.
    12. M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
    13. Loeffen, R. & Palmowski, Z. & Surya, B.A., 2018. "Discounted penalty function at Parisian ruin for Lévy insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 190-197.
    14. Yamaguchi, Hikaru & Murakami, Hidetoshi, 2023. "The multi-aspect tests in the presence of ties," Computational Statistics & Data Analysis, Elsevier, vol. 180(C).
    15. Axel Gandy & Jan Terje Kvaløy, 2013. "Guaranteed Conditional Performance of Control Charts via Bootstrap Methods," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 647-668, December.
    16. Maria Mercè Claramunt & Maite Màrmol, 2020. "Refundable deductible insurance," Working Papers hal-02909299, HAL.
    17. Esther Frostig & Adva Keren-Pinhasik, 2020. "Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 101-134, March.
    18. Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019. "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
    19. Graham, M.A. & Mukherjee, A. & Chakraborti, S., 2012. "Distribution-free exponentially weighted moving average control charts for monitoring unknown location," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2539-2561.
    20. Michel Denuit, 2009. "Life Anuities with Stochastic Survival Probabilities: A Review," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 463-489, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:296:y:2022:i:3:p:873-899. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.