ENBIS: European Network for Business and Industrial Statistics

Control charting under drift

21 September 2009, 14:45 – 15:05

Abstract

Submitted by

Sven Knoth

Authors

Sven Knoth

Affiliation

Helmut Schmidt University Hamburg, University of the Federal Armed Forces Hamburg

Abstract

The behavior of control charts such as EWMA, CUSUM, Shewhart with and without runs rules, and Shiryaev-Roberts is studied under linear drift. Computational methods from Gan (1991), Aerne et al. (1991), and Knoth (2003) are utilized to calculate zero- and steady-state Average Run Lengths. Additionally, some comparisons with special drift detection schemes are done. It turns out, finally, that the classical step change detection schemes are sufficiently sensitive to detect also drifts.

Gan, F. F. (1991), EWMA control chart under linear drift, J. Stat. Comput. Simulation 38, 181-200.

Aerne, L. A., Champ, C. W. & Rigdon, S. E. (1991), Evaluation of control charts under linear trend, Commun. Stat., Theory Methods 20, 3341-3349.

Knoth, S. (2003), EWMA schemes with non-homogeneous transition kernels, Sequential Analysis 22, 241-255.

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