CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(4) 384-394 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Change point detection
average run length
stable L\'{e}vy process
EWMA
GEWMA
GLR
CUSUM.
Authors
Zhang Chen
HAN Dongong
TSUNG Fugee
PubMed
Article by
Article by
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The Average Run Lengths of Control Charts for Stable L\'{e}vy Processes

Zhang Chen, HAN Dongong, TSUNG Fugee

Department of Mathematics, Shanghai Jiao Tong University, Department of Industrial Engineering and Engineering Management, Hong Kong University of Science and Technology

Abstract��

As we know that the average run length (ARL) is an extensively used measure in
statistical process control (SPC) for evaluating and comparing the detection
performance of various control charts. In this paper we not only present the
asymptotic estimation of the ARL for the exponentially weighted moving average (EWMA), generalized EWMA (GEWMA) and generalized likelihood ratio (GLR) control charts but also compare the detection performance by the numerical simulation among the four charts: EWMA, GEWMA, GLR and CUSUM in detecting the mean change of a stable L\'{e}vy process.

Keywords�� Change point detection   average run length   stable L\'{e}vy process   EWMA   GEWMA   GLR   CUSUM.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Zhang Chen
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1��Han Dong, Tsung Fugee, Hu Xijian.A Multi-Chart Approach for Mean Shift Detection[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2008,24(3): 297-311

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