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Performance comparison of some likelihood ratio-based statistical surveillance methods

Author

Listed:
  • Mahmoud Mahmoud
  • William Woodall
  • Robert Davis

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.

Suggested Citation

  • Mahmoud Mahmoud & William Woodall & Robert Davis, 2008. "Performance comparison of some likelihood ratio-based statistical surveillance methods," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(7), pages 783-798.
    • Handle: RePEc:taf:japsta:v:35:y:2008:i:7:p:783-798
    DOI: 10.1080/02664760802005878
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    References listed on IDEAS

    as
    1. Christian Sonesson & David Bock, 2003. "A review and discussion of prospective statistical surveillance in public health," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 166(1), pages 5-21, February.
    2. Christian Sonesson, 2003. "Evaluations of some Exponentially Weighted Moving Average methods," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1115-1133.
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