The Average Run Lengths of Control Charts for Stable L\'evy Processes

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\'evy process.