Evaluations of likelihood ratio methods for surveillance.

Abstract

When a control chart is used in practice, knowledge about several characteristics of the method is important for the judgement of which action is appropriate at an alarm. The probability of a false alarm, the delay of an alarm and the predictive value of an alarm are qualities (besides the usual ARL) which are described by a simulation study for the evaluations. Results for finite time are given for a shift in level of a Gaussian process.

Evaluations are made of the full likelihood ratio method that has two parameters and can be made optimal for both the size and the intensity of a shift

Keywords:

• quality control
• warning system
• control chart
• predictive value
• performance
• Shiryaev
• Roberts
• Shewhart
• CUSUM