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AND OPERATIONS Vol. 3. No. 3. Summer Primed in U.S.A.
RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS TO DETECT FALSE ALARMS*
MOSKOWITZ, ROBERT D. PLANTE, AND DON G. WARDELL
Krannert GraduateSchoolof Management,Purdue University, WestLafayette, Indiana 47907, USA Krannert GraduateSchoolof Management,Purdue University, WestLafayette, Indiana 47907, USA David EcclesSchoolof Business, University of Utah, Salt Lake City, Utah 84112, USA
Run-length distributions for various statistical process-control charts and techniques for computing them recently have been reported in the literature. The real advantages of knowing the run-length distribution for a process-control chart versus knowing only the associated average-run length of the chart have not been exploited. Our purpose is to use knowledge of the run-length distribution as an aid in deciding if an out-of-control signal is a true signal or merely a false alarm. The ability to distinguish between true and false signals is important, especially in operations where it is costly to investigate the causes of out-ofcontrol conditions. Knowledge of the run-length distribution allows us to compute likelihood ratios, which are simple to calculate and to interpret and which are used to determine the odds of obtaining an out-of-control signal at a particular run length when a shift in the process mean actually has occurred vis-a-vis no such shift. We extend our analysis in a Bayesian sense by incorporating prior information on the distribution of the shift size of the process mean, combined with the likelihood ratio obtained from the run-length distribution, to determine if a shift largerthan a critical size has occurred. We give examples for the Shewhart chart, the exponentially weighted moving-average chart, and the special-cause control chart for processes with autocorrelated observations. The examples show that the current recommended usage of the average-run length alone as a guide for determining whether a signal is a false alarm or otherwise can be misleading. We also show that the performance of the traditional charts, in terms of their average-run length, can be enhanced in many instances by using the likelihood-ratio procedure. (STATISTICAL PROCESS CONTROL; AVERAGE-RUN LENGTH; FALSE ALARMS)
The use of statistical process-control (WC) charts, and in particular Shewhart charts, has become widespread in recent years because of an increasing emphasis on improving quality so as to improve product and service competitiveness. Traditional SPC charts are simple to implement and are very effective in helping alert manufac* Received April 1992; revision received January 1993; accepted May 1993. 217 1059-1478/94/0303/217$1.25
Copyright 0 1994, Production and Operations Management Society
turers to the presence of quality anomalies in their processes. Shewhart charts are basically set up as hypothesis tests on the quality characteristic being measured. Control limits on these charts are determined so as to control the probability of obtaining a point outside the control limits when the process is in control (i.e., to control the probability of a type I error, a). It is common practice in the United States to set the limits of a Shewhart chart at +3 standard deviations, giving an (Y value of 0.0026. When an observed value falls outside the control limits, the process is generally considered to be out of control and a search for an assignable cause is initiated. One of the most important properties associated with any SPC chart is the run length. The run length is the number of observations required to obtain an observation outside of the control limits for a given shift in the mean (Wadsworth, Stephens, and Godfrey 1986). The count of the run length is initiated at the beginning of a production run or at the first observation after an out-of-control signal has occurred. When the process is in control, the run length should be long but is not infinite because there is a probability ((Y) of a point being outside the limits even when the process is in control. This is referred to as a false alarm. In many cases investigating a false alarm can be very costly, especially when the process must be shut down or if highly skilled workers must be paid to conduct the investigation. When an observation falls outside of the control limits and the cause of the out-of-control signal is not obvious, the operator is faced with the problem of deciding whether a point is a true signal or is simply a false alarm. In this paper, we show how the run-length distribution can be used to assist such a determination, thereby enabling more informed use of control charts by process operators. 1.1.
Previous Research on Detecting False Alarms
Several researchers have been concerned explicitly with the need to distinguish between actual signals and false alarms, particularly in the area of the economic design of control charts (Montgomery 1980). Such economic designs trade off the costs of investigating false alarms against the costs of producing defective items, taking into account the probability of a false alarm (a) as well as the probability of detecting an out-of-control state given it has actually occurred (called 1 - /3, where /3 is defined as the probability of a type II error, i.e., the probability of obtaining a point within limits given that the process is not in control). Such designs also make use of the fact that the run length of the Shewhart chart is a geometric random variable with mean 1/( 1 - 8) ; however, this is only used to find the average-run length ( ARL), because the objective is to minimize the expected cost per unit time. Using a similar idea, Mayer ( 1983) discussed the issue of trading off the type I and II errors associated with control charts in a discussion on the validity of using +3 standard deviations for control limits in every process environment. He argued that when the cost of investigating a false alarm is relatively high, then wider limits should be used, whereas if the cost of producing defective items is very high, then narrower limits should be used. The exact width of the limits, he suggested, should be determined by experience and good judgment on the part of the user; however, he gave no specific guidelines. A second area where there is special interest in deciding whether a signal is a false alarm is in knowledge-based systems applied to quality control. Hosni and Elshennawy ( 1988) developed an expert system that uses dialogue with the user to select an
2. as does the run-length distribution. in most instances their system also treats signals as true alarms. Although they mention the possibility of getting a false alarm. 1990)]. Moreover. This is possible with the EWMA chart because there are two parameters that can be manipulated. enables us to make more accurate judgments about whether an out-of-control signal is valid or whether it is a false alarm. Both Lucas and Saccucci ( 1990) and Crowder ( 1989) show that by appropriately setting the values of h and L. such as with the EWMA chart. and Lucas and Saccucci ( 1990) use the ARL of the exponentially weighted moving-average (EWMA) chart to design control schemes that are intended to control the frequency of false alarms while simultaneously increasing the chance of detecting a specified size shift once it occurs. Crowder ( 1989). Knowledge of the run-length distribution of a given SPC chart. their expert system treats every out-of-control signal as a true alarm. Evans and Lindsay ( 1988) developed a similar system. very little was known about the run-length distributions of some of the commonly used control charts. Rationale for Using Run-Length Distribution Although the above approaches recognize the need to address the problem of false alarms. I . Until recently. it is very difficult to make such a judgment accurately. except in some cases in which it waits for more information to make a decision. and so on? Then. based on the type of out-of-control signal experienced. is the user willing to tolerate a false signal occurring on average every 250 observations. on the other hand. Finally. and the multiplier of the standard deviation. 250 does the signal have to be before it is considered to indeed be a false signal? If a signal occurs after 200 observations. the user must determine when a false signal has occurred. Recently. every 500 observations. it can be useful in characterizing the run-length distribution (Lucas and Saccucci. however. a practitioner must first determine a desired in-control ARL. is it a false alarm or is it an actual out-of-control condition? Based on the ARL per se. when designing the EWMA chart based on the ARL. They accomplished this by constructing a matrix that they used to link various out-of-control signals to possible assignable causes. For example. moreover. once the chart is established. which is not commonly available. it does not give full information. namely. several researchers have developed procedures for analytically determining such run-length distributions. they note that it is difficult to discern whether an out-of-control point is a random outlier or a genuine shift in the process level. a decision may be difficult to make even with knowledge of the standard deviation of the run length ( SRL) as well. knowledge of the run-length distribution allows us to compute the chance that a shift of a given size has actually occurred. X. no use is made of the information provided by the run-length distribution. because they were difficult to compute. defined as L. say. Comparing these two probabilities permits a more informed decision as to whether it makes sense to search for an assignable cause. as well as the probability that no shift has occurred. one can often specify a control chart that gives a high ARL when the process is in control and a relatively small ARL when the process has shifted by a specified magnitude. That is. the smoothing constant. such as the run-length variability. How close to. Although the ARL can be used to give an idea of the frequency of false alarms on average [in some cases. However.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 219 appropriate control chart and then interprets its signals. Robinson and Ho ( 1978). .
Moskowitz. managers have not advantageously exploited this knowledge in process control. and we are plotting X. Run-Length Distributions The run-length distribution of a particular control chart depends on the type of assignable cause. (1) . Champ and Woodall ( 1987) determined the runlength distributions of the Shewhart chart when combined with supplementary run rules. all possible shifts are considered equally likely). Finally. WARDELL I . where ui = ax/ fi and a. we summarize our results and discuss some future research areas. Waldmann ( 1986a. ROBERT D. highly informative. EWMA. and see control charts. 1986b) makes the only mention of the importance of the runlength distribution as opposed to the ARL and SRL.1. if we define p( 6) to be the probability that an observation will exceed the control limits of the Shewhart chart given that a shift of size 6 has occurred. In Section 3. CUSUM. in Section 6. we assume that the type of assignable cause to be detected results in a step change in the process mean. Woodall ( 1983 ) also investigated the run-length distribution of the one-sided CUSUM procedure. Run-Length Distribution of the Shewhart Control Chart It is well known that the run length of the Shewhart control chart follows a geometric distribution (Montgomery. has not been used to assess the validity of out-of-control signals in SPC. where 6 is measured in terms of the standard deviation of X. In Section 4. Wardell. is P(N= u16) =p(6)(1 -g(6))‘-‘. In Section 5. citing Barnard ( 1954). In all cases. Although researchers have found the run-length distributions for the Shewhart. who discussed the benefit of knowing any distribution rather than only its first two moments. We define 6 to be the size of the shift in the mean.3. EWMA. More recently. which is the conditional probability mass function of iV given 6. we give some numerical examples to illustrate the use of the proposed methodology both when prior information is available on the distribution of possible process shifts and when it is not available (that is. The run-length distribution of the control charts is then actually a conditional distribution contingent on the value of the shift in the process mean. even though doing so appears appropriate. we use these run-length distributions to derive the likelihood ratio that an out-of-control signal is a true signal rather than a false alarm. 1986b) found bounds on the distributions of the run lengths chart. and Plante ( 1994) derived the run-length distribution of the special-cause control ( SCC) chart proposed by Alwan and Roberts ( 1988) for processes with autocorrelated observations. the average of each subgroup. then the run-length distribution. 1980). ui. 2. is the standard deviation of single observations. u2 1. we review the run-length distributions of the Shewhart. AND DON G. In the following section. PLANTE. Suppose that we have a Shewhart chart in which subgroups of size n are being taken. Now. and potentially useful. and see charts. when known. Recent Literature on Run-Length Distributions Waldmann ( 1986a.220 HERBERT MOSKOWITZ. Still. we compare the performance of the likelihood ratio method with that of traditional procedures. Crowder of the EWMA chart and the cumulative sum (CUSUM) ( 1987) and Lucas and Saccucci ( 1990) used different methods to find the run-length distributions of the EWMA chart. 2. the run-length distribution.
” s h fYN=u- llY. where ZZ is the sample mean and Ql is the value of the EWMA after observation we let the initial EWMA value. then we have (Crowder. the means of the subgroups are normally distributed.Pi(S)]. v-l P(N = u16) = P”(b) n [I . x _ 0. No limits are associated with the ccc chart. If. it is simply used to estimate the current level of the process.x (4) forv22. they give the run-length distribution for the ARMA ( 1. 1987) P(N=llu. as is usually assumed. Run-Length Distribution of the XC Chart for Autocorrelated Observations Alwan and Roberts ( 1988) proposed a pair of control charts for monitoring process quality when observations are autocorrelated and only one observation is made at each sampling interval (thus.3. (6) i=O . be u.S)(P y-(1 1 [ Au. then ~0) is p(6) = 1 . and thus the CCC chart can be used for dynamic process control. 2.6). Based on the forecasts of the CCC chart. The other chart is called the ( SCC) chart. Moskowitz. If P(N= UIU.X)u dy. We arbitrarily use the method of Crowder ( 1987) to illustrate its development.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 221 where Nis the run length or the number of subgroups taken until a signal is obtained.l) model.@(L . The first chart is called the common-cause control chart (ccc) and is simply a plot of the predicted or forecasted values obtained from fitting the data with an ARIMA model popularized by Box and Jenkins ( 1976 ). For example.6) + (P(-L . which is a Shewhart or individuals (because n = 1) chart of the residuals or forecast errors obtained after fitting the ARIMA model. (2) where 9 is the standard normal distribution function and L is the number of standard deviations used to find the upper and lower control limits (usually assumed to be 3). (5) where h = the control limits of the EWMA chart = Laifx/2 ui = the standard deviation of the sample means X = the smoothing constant in the EWMA model 50 = the normal density function. The EWMA of the sample statistic Z1 is described by Qt = (1 . and Plante ( 1994) derived the run-length distribution of the scc chart for step changes in the process mean for any ARMA model. QO. Run-Length Distribution of the EWMA Chart Both Crowder ( 1987) and Lucas and Saccucci ( 1990) have determined the runlength distribution for the EWMA control chart. n = 1 ).x)9(-1 + ti. 1 1 . 2. adjustments can be made to bring the level of the process back to target. Wardell.2.s)=l-* and h-(1-X)u+ x _ ax +~ -h-(1-X)u -6 (3) t. 6) =.
= the ua = the @i = the 8i = the L-65 1 aa [ 1+~(1-8rl)]] (7) standard deviation of the observations standard deviation of the residuals autoregressive parameter in the ARMA ( 1.l) model. However.e. Computing the Likelihood Ratio We now show how the likelihood ratio can be computed from the run-length distributions and how it can be used to decide whether a signal is a false alarm.1). measured in units of standard deviations of X. These ratios can be printed directly on the control chart (see Figure 1b and the accompanying discussion in Section 4. we now describe a procedure to determine if a signal is a false alarm.5. ROBERT D. We then plot the mean of the subgroups (or the residuals in the case of the see chart) using the appropriate control chart for the process under investigation. On the other hand. the signal is more likely a false alarm than a true indication of a process shift. PLANTE. we determine if the likelihood ratio at that run length is greater than 1 (our action limit). however. The choice of the cutoff ratio (action limit). First. When a point on the control chart falls outside of the control limits. We assume for illustrative purposes only that any value of A below a cutoff ratio of 1 is judged a false alarm. then it is more likely that a shift has occurred. we judge the signal more likely to be true than false and begin a search for an assignable cause. on the relative costs of searching for a false alarm versus producing low-quality products). v. Suppose that we are most interested in detecting a shift of size 6*. AND DON G. If it is. ranges from 0 to cc.222 HERBERT MOSKOWITZ. when the ratio is less than 1. as well as on the manager’s risk attitude. . Each and every time an out-of-control signal is obtained. occurred. depends on the economics of the situation (i. A. we have a 50-50 chance of obtaining a signal at v when a shift has. and is described in Section 2. We start the run-length “clock” at the beginning of a production run or at the first observation after an out-of-control signal has occurred. If A is equal to 1. If the ratio is greater than 1. Suppose also that we have obtained an out-of-control signal at subgroup V. Using this likelihood ratio. using the hypothesized value of 6*. we must find the probability of obtaining a signal at subgroup v given that a shift in the mean of size 6* has occurred. the likelihood ratio in (8) is computed off-line (only one time) for each value of the run length. the informationless case. To find the likelihood that this signal is a false alarm. as well as the probability of a run of size v given that there is no shift in the process mean.. WARDELL where +* and a. 2. the clock must be restarted. I ) model moving average parameter in the ARMA ( 1. Using these probabilities we compute the likelihood ratio or odds for a shift of size 6* vis-a-vis no shift in the mean as follows: h(N = v16*) = P(N = VI6 = a*) P(N= v/6 = 0) * The value of the likelihood ratio. A.4.
The odds ratio can be either a prior odds ratio or a posterior odds ratio. then Q&P 1 -p’ (10) . as well as on the odds ratio. If we wanted to incorporate the risk attitude of the manager. if false alarms are costly to investigate. The cost of rejecting H1 when it is true is the cost of concluding the process is in control when the mean has actually shifted and is denoted cD. The new signal will be considered a true signal by the likelihood ratio. The decision rule is to accept HI if 52 cFA/cD < 1 and to accept Ho otherwise ( Winkler and Hays. As we mentioned. as well as on the manager’s risk attitude. Determining the CutoflRatio In Section 2. depends on the prior odds ratio. the choice of the cutoff ratio depends on the economics of the situation. we are obtaining sample information that can be used to update the odds ratio. A. we conclude that such a signal is more likely to be a false alarm. we could use utilities instead. In addition. If p is the prior probability that the process is on target. The null hypothesis. a conclusion must be made concerning the level of the process. C’. We should emphasize that in some cases the process will shift to the out-of-control state after a significant amount of time. we must reset the forecast to QO to begin the process again. another signal will be given very soon thereafter. R. The approach described in the preceding paragraph formalizes the procedure for deciding when to wait for additional evidence and whether there is enough evidence to conclude that the process is out of control. G ‘. HO. for the EWMA chart. because we restart the run-length clock immediately after the out-of-control signal. In practice. The decision to accept or reject HO depends on these costs. and the likelihood ratio. When this occurs. is that the mean has shifted to a new level. 2.4 we used a cutoff ratio of 1 to illustrate the procedure of assessing the likelihood that a signal is a false alarm. The cost of rejecting HO when it is true is the cost of a false alarm and is denoted cFA. it is often true that operators will not always act on an out-of-control signal but will instead wait for additional evidence.5. This conclusion can be reached by framing the problem using a simple test of hypothesis. the run length will be long. We further discuss the effect of a delayed shift on chart performance in Section 5. In other words. we would restart the clock and keep track of the time until the next signal is given. and the approach would be similar. defined as Q = P(Ho) P(HI) (9) ’ where P( Ho) is the probability that the mean is on target. However. which we refer to as A*. In this case we are basing the decision as to the state of the process on whether or not an out-of-control signal is given. because the run-length distributions of the EWMA chart are derived assuming the starting point of QO. After either kind of signal. and P( HI ) is the probability that it has shifted. When an out-of-control signal is given. the posterior odds ratio. and the signal will be considered a false alarm using the likelihood ratio.2. Therefore. is that the mean has not shifted. 1975 ) . We use a simple decision analysis method to determine the cutoff ratio. H1.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 223 if the ratio is less than 1. and the alternative hypothesis.
Therefore the cutoff ratio is A* = ( 1F. VI6 I&*) = j-s>** = vIof(Vd~ P(N 1 .6>6”)= > P(6> a*) and P(N= 3. that 6 is a nonnegative continuous random variable with probability density function f( 6). Note that with this type of prior probability.p)cD and accept HO otherwise. ( 13 ) and ( 14)) we can compute the likelihood ratio of obtaining an out-of-control signal at subgroup v given that we are interested in detecting any shift greater than size 6* as follows: A(N= via*) = P(N= P(N= vl6> a*) VI6 I a*) (15) .)cD. Knowledge of this distribution enables us to determine the probability of an out-ofcontrol signal given that the shift in the mean is above or below some critical shift. WARDELL Q2”= P -! 1 -ph. is different for each value of v. and the relevant values can be given to the operator for easy reference. Assigning a Prior Distribution to Possible Process Shifts Suppose that a manager is not so much interested in the odds that a specified process shift has occurred but more so in the odds that the process may have shifted above a specified value. Here our prior probability that the mean has shifted is small soon after the process is started or adjusted and becomes larger as the process continues. A*. just as is the case with A. Then. we can extend the analysis by assuming some distribution on 6. 6*.L* P(6 I a*) P(N = vlof(w~ F(J*) * (14) A Bayesian Revision Model With the two conditional probabilities. because the run-length distribution is conditional. with the mean time until the shift occurs equal to 7. PLANTE.1. the cutoff ratio is a function of the costs of the two types of errors. as well as of the prior probabilities concerning the state of the system. the value of p would be set to e-“lr.n this case we need to find the probabilities of obtaining an out-of-control signal at subgroup v given that a process shift is either less than or greater than 6*. offline. If we obtain a signal at observation v. Using the posterior odds ratio. AND DON G. That is. it must only be computed one time. ROBERT D. 3. As an example. The value of p would probably depend on the time the signal is given. we want P(N = v 16 > 6*) and P(N = v I 6 5 6* ) as follows. (12) Hence. where F( 6) represents the distribution function of 6: P(N= VI6 a*)= P(N= v.F(6*) (13) fJ(N = y.224 and HERBERT MOSKOWITZ. However. the decision rule becomes accept H1 if A > pcFA/( 1 . 6 5 6*) = . 1. namely. we might model the process failure mechanism with an exponential distribution.
Figure 1b shows how the ratios can be placed on a Shewhart chart to aid in the interpretation of out-of-control signals. A. EWMA. 4. at which time a similar decision is required. the signal is a false alarm. and see charts to identify false signals. however. We then use the Shewhart chart to examine ( 1) the robustness of the likelihood ratio with respect to the choice of a prior distribution for shift size and (2) the effect of the average shift size of the prior distribution on the posterior distribution of 6*. if the ratio is less than 1. Now we can determine I’(6 > 6*IN (16) P( 6 > 6* 1N = V) and P( 6 I 6* 1N = V) as follows: = Y) = P(N=v. This is so because when a large shift occurs. the likelihood ratio falls below 1 after the 25th observation. it should be detected very quickly via the likelihood ratio.6>6*)= P(N = v) . In the next section. Of course. then a signal obtained during the first 100 observations is considered to be a true alarm. the signal is considered to be valid. as the size of the shift one wants to detect increases.o P(N = ~l~). However. The Shewhart Chart Figure la shows how the likelihood ratio for the Shewhart chart varies with the run length for three different shifts in the process mean. Further.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 225 We can also compute the posterior probability that a shift of size 6* or greater has occurred given the run length at which an out-of-control signal is detected. we must first obtain the unconditional probability of N: P(N = v) = j->o P(N = vl6)f(6)dS. the number of observations required before a signal is considered to be a false alarm decreases. To do this.P(6 > 6*IN = v). Thus. To facilitate discussion. signals after the 100th observation would be considered false alarms. We first discuss the usefulness of the run-length distributions assuming no prior information on possible process shifts. when the shift to be detected is 2~2. the robustness of the likelihood ratio method with respect to choice of a prior distribution on the shift size. and when the shift is 3~~2. (18) The choice of a density function forf( 6) obviously affects the likelihood ratio. if the likelihood ratio is greater than 1. the ratio falls below 1 after the 8th observation. and production would continue until another signal (after resetting the clock) is obtained. as depicted in Figure I.1. if no signal is given after the first few observations. it is not very likely that a large shift has occurred. and thus one would conclude that later signals are probably false alarms. we investigate. .l-(~)d~ = vl6)f(6)dS (17) and P(6 I 6*/N = v) = 1 . these ratios are used only when an out-of-control signal is given. That is. However. 4.fs>p P(N j-a. among other issues. We observe from the figure that if a decision maker is interested in detecting a shift of 1ai. we assume that the critical or cutoff value of A is 1. When a plotted point falls outside the control limits. Effectiveness of Shift Detection via Likelihood Ratios We investigate the effectiveness of using the run-length distribution for the Shewhart.
the operator can simply observe the ratio at that point and use it to decide if the signal should be considered a true or false alarm. LikelihoodRatiosfor the Shewhart Chartfor 3 Different Shiftsin the Mean.25 and L = 3.I. Again the standard deviation referred to is a~ = a. Figure 2 shows the EWMA chart and the associated . 1 2 3 j. WARDELL 8 Size of the shiftin standarddeviations 1 -3 -2 3 2 Consideredan actual signal Considereda falseaim 0 20 40 60 80 100 Run Length 3 ai Ki c6 z od z & 00 ? 12 s1 t-: G 6 ?I r-: Likelihood 4 -41. UsingLikelihoodRatios with the Shewhart Chart. although often for the EWMA chart iz = 1. b. PLANTE./ 6.i.0.2. 5 Number ! 6 .I. 4. ROBERT D. a.226 HERBERT MOSKOWITZ. A Sample Shewhart Chartwith LikelihoodRatiosfor 1 Standard DeviationShiftsIndicated. where a shift of one standard deviation is introduced after the 10th observation. The first example is from Lucas and Saccucci ( 1990) in which they illustrate the EWMA control scheme with X = 0. AND DON G. 4 Observation I. The EWMA Chart We now illustrate the usefulness of the run-length distribution for the EWMA chart by considering some examples given in the literature. 7 8 FIGURE 1.
if we were looking for a shift of . a. the first occurrence of a point plotted outside of the control limits is obtained after 16 observations.25 and L = 3. two.25 and L = 3. As shown in Figure 2a.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 227 Q -2- 0 5 10 15 20 observation number Size of the shiftin standarddeviations 1 0 FIGURE 2. b. Examining the plot in Figure 2b. On the other hand. Likelihood Ratios for the EWMA Chart with X = 0.0. we seethat if we were interested in detecting a shift of 1a~.0. and three standard deviations. Application 10 of the Likelihood 20 30 40 50 Run Length Ratio to the Lucas and Saccucci Example. likelihood ratios for X = 0. The EWMA Chart for the Lucas Example. for shifts of one. then we would conclude that the signal was legitimate.
the sample size is always one. AND DON G. and Plante ( 1994) showed that when the data can be described by an ARMA ( I.15 and L = 2. = 0. including the EWMA calculations. an out-of-control signal is more likely a false alarm.76. when Size of the shift in standard deviations 1 -2 -3 6 0 10 20 Run Length 30 40 50 FIGURE 3.228 HERBERT MOSKOWITZ. It is stated that the desired in-control ARL is 250 and that we wish to design a chart that will quickly detect a shift of size one standard deviation. Moskowitz. For instance. The chosen parameters are then X = 0. PLANTE.. the standard deviation of the observations. A second example is from Crowder ( 1989)) in which he uses the in-control and out-of-control ARLS to design an EWMA control scheme.15 and L = 2.65. so the shift is now in terms of a. 4. . What is important to note is that although the chart was designed to give a false signal on average every 250 observations. we would conclude that the signal was a false alarm and restart the procedure.1 ) model.65. Hence. Wardell. the SRL is so large that the likelihood ratio test would suggest that after 22 observations. ROBERT D. The see Chart The final set of examples are for the scc chart for correlated data. starting again with Q0 = 0.497 and the ARL at a shift of one standard deviation is 2. WARDELL two or three standard deviations. Likelihood Ratios for the EWMA Chart With X = 0.9. the first autocorrelation coefficient is -0.0 and 0r = 0. For the scc chart.3. processes that are negatively autocorrelated have much smaller ARLS than those that are positively autocorrelated. when 4. Figure 3 shows the plot of the likelihood ratios for this case. the likelihood ratio test gives control chart designers and users another tool for designing and using EWMA charts that is not available by simply specifying the desired ARLS. in contrast.
the first autocorrelation coefficient is 0.824 and the ARL is 274. When the ARL is small (Figure 4a). = 0. the distinction between false alarms and true signals is very clear since the likelihood ratio drops quickly below 1. the in-control ARL is 370. Size of the shift in standard 1 deviations 8 Run Length 12 16 20 0 4 8 12 Run Length 16 20 FIGURE 4.9 (Negative Autocorrelation).45. b.4. a. Likelihood Ratios for the see Chart for Two ARMA( 1. Figure 4 shows the likelihood ratios for these two examples.7 for a shift of one standard deviation. but when the ARL is large (Figure 4b). 4. . The results show that in both cases we would conclude that after the fifth or sixth observation any out-of-control signal is more likely a false alarm than a true signal. For both cases. = 0. the distinction becomes much less discernible.45.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 229 #Q = 0.95 and 0.l) Models. We also see in this example that knowledge of both the ARL and the likelihood ratio is useful. as is observed by the flatness of the curve near a likelihood ratio of 1.95 and 0. = 0. = 0 and 8. 41 = 0.
4. is small) versus one where the average shift in the mean is large. and 2 standard deviations.4. namely. Figure 5 shows three examples for which the average shift is equal to 1 and where we desire to detect a shift (a*) of less than 0.5. we would expect that later signals would be legitimate. (19) The exponential density assumption for the shift in the mean appears plausible. unless we obtained a signal immediately. 197 1) . Likelihood Ratios for the Shewhart Chart With Prior Exponential Parameter p = 1. Figure 6 shows three but the parameter. 6 2 0. if we were interested in detecting smaller shifts. as many of the results here are extensions of the results reported in earlier sections. . because it takes longer to detect smaller shifts. we use a prior distribution on the shift size.5 a*=1 &*=2 0 20 Run Length 40 60 FIGURE 5. f(S) = peep&. WARDELL 4. On the other hand. we would ignore signals caused by smaller shifts. AND DON G. ROBERT D.230 HERBERT MOSKOWITZ. we would conclude that the signal was caused by a smaller shift than what we were concerned about and looking for.1 where no prior distribution was assumed. SENSITIVITY plots in which 6* remains constant at one standard deviation. I - ko. It can be seen that as we increase 6*. As discussed in Section 3. Shift Detection Using a Prior Distribution We now investigate the use of the likelihood ratio to detect shifts in a process where the size of the shifts to be detected is specified over an interval (for example. 6. the run length at which we determine a signal to be a false alarm decreases. if we are expecting large shifts. We only present results for the Shewhart chart.4. The assumption that 6 follows an exponential density also allows us to examine the effect of having a system subject to small changes (where the average shift. p. 1 /p. we want to detect any shift that is larger than one standard deviation). These results agree with the cases discussed in Section 4.1. 1. TO PRIOR EXPONENTIAL PARAMETER. This makes sense because large shifts should produce a signal immediately. We assume that the shift in the mean follows a negative exponential distribution with parameter p. Thus. PLANTE. because it is presumably more likely that a shift in the mean of a process is small (Duncan.
we are more likely to obtain a signal sooner and less likely to obtain a signal later. As shown in Figure 9. For these examples we use a Shewhart chart and assume that the prior distribution of possible process shifts is exponential with parameter p. for three different 6* values.2. Figure 9 shows the probability that a shift greater than 6* has occurred given the run length for three different values of p. Figure 7b shows another example with different parameters (p = 2. Posterior Probability Revision The following set of examples uses ( 17 ) and ( 18 ) to compute the posterior probability that a shift in the process mean has occurred that is above or below a specified value 6* for a given run length. From Figure 6 it is clear that as the average shift in the mean increases (that is. For p .5. compared with when it is assumed to be uniform. Again the results are similar.4. the run length at which we determine a signal to be a false alarm decreases. For 6* = 1. the graph in Figure 9 depicts much different behavior from that shown in Figure 6. the run length for which a signal is considered a false alarm decreases. it is more likely that an out-of-control signal is a false alarm. Thus. there are only minor differences in the results. Sensitivity of Likelihood Ratio to Prior Exponential Parameter p for 6* = 1.RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 231 I=2 p=l pO. Overall the likelihood ratios appear to be reasonably robust with respect to the selection of a prior distribution. When the posterior probability falls below 0. TO PRIOR DISTRIBUTION: EXPONENTIAL VERSUS UNIFORM. 6* = 0. When the average shift in the mean increases. Interestingly. 4. The graph in Figure 8 is similar to Figure 5 in the sense that when 6* increases. 4.5. This again is consistent with the results where no prior distribution was assumed. of the exponential distribution is changed.5 2 0 0 20 Run FIGURE Length 40 60 6. the run length before an observation . Figure 7a shows that when p = 1 and 6* = 1. when the average shift in the mean ( 1 /p) increases. Figure 8 shows the probability that a shift greater than size 6* has occurred at a given run length.= 1. especially near the point where a signal is deemed to be a false alarm. SENSITIVITY Figure 7 shows a comparison of the likelihood ratios when the distribution of the shift in the mean is assumed to be exponential. it appears that the time at which we begin to conclude signals are false alarms is not very sensitive to the prior distributions or parameters chosen.5 ) . as p decreases).
the size of the critical shift. Likelihood Ratio to the Prior Distribution. WARDELL . We examined the following two situations: ( 1) when a shift occurs immediately and (2) when the shift occurs at some random time in the process. and the critical or cutoff value of A was 1.1. Performance of the Likelihood Ratio Test We evaluated the effectiveness of the proposed procedure by simulating the ARL of the control charts when using the likelihood ratio. Sensitivity of the Likelihood a. was 1aZ. PLANTE. Exponential Uniform AND DON G. d -8 8 c = s -1 I 6 5 4 3 2 1 0 8 16 24 32 40 Run Length FIGURE 7. 5. We show only the results for the casewhen no prior distribution is assumed on the sizeof the mean shift. ARL for an Immediate Shift Table 1 compares the simulation results. In all cases. in terms of the ARL. 5.- 0 4 8 12 16 20 24 28 32 36 40 Run Length 8 0 ‘. Ratios with Average Shift = 1 and 6* = 1 for Exponential Ratios With Average Shift = 2 and 6* = 0. for the Shewhart chart with the likelihood ratio test versus when the test is not used for an immediate . ROBERT D. Versus Uniform Distributions. This is true because the prior probability that 6 > 1 increasessignificantly as p increases. 6*. Likelihood b.5 for Exponential Versus Uniform Distribution is considered a false alarm increases.232 HERBERT MOSKOWITZ.
the ARL when there is no shift in the mean is increased from 370 to almost 1. on average. whereas the ARLS for shifts at or above the critical shift remain about the same. when shifts are larger than 1a*.600 observations.6 0. process shift. when a shift of 1ai occurs. However.5 0 20 40 60 80 100 Run Length. Because the results for the EWMA chart are similar to those of the Shewhart chart. Posterior Probabilities of Being Out of Control for the Shewhart Chart with p = 1. The results for the EWMA chart are very similar (Table 1b). .RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 233 0.2.15 and L = 2. N 60 80 100 FIGURE 8. Thus.2 0. the ARL is slightly larger than with the Shewhart chart alone. because nearly every signal occurs before the likelihood ratio falls below I.. the ARL is essentially the same. The results show that the likelihood ratio test is effective. When using the likelihood ratio test.8 0. Further. Table 1b shows that the ARL. 0.6 p=2 p=l pd. we give further results only for the Shewhart chart. Here we used the second EWMA chart described above in Section 4. the frequency of false alarms is reduced by a factor of four.65. Posterior Probabilities of Being Out of Control for 6* = 1. with X = 0. For shifts smaller than the critical shift of la. when there is no shift.4 0.8 E x $ z 0. N RGURE 9. becomes very large. the ARL is larger than with the Shewhart chart alone.0 0 20 40 Run Length.
5 3.08 11. Effect of narrowing 0.00 Without the Test of the Shewhart chart 1443.5 2.18 5.56 12. the chart with narrower limits combined with the likelihood ratio test detects the shifts more quickly on average.21 3.80 2.16 0.05 0.0 of the Shewhart chart used with the likelihood ratio test 369.89 14.0 0. and the likelihood ratio is used.89 14.97 6.5 2.0 1. but shifts are detected earlier. that when shifts actually do occur. AND DON G.39 Simulated ARL With the Test and Limits of k2. the ARL is about 370 when no shift has occurred. using the likelihood ratio test to check for false alarms has allowed us to narrow the limits .08 3. In this case.0 2.33 3.62.73 43.0 Size of the Mean Shift (in terms of IJ~) 370.62~~ Size of the Mean Shift (in terms of Us) c.97 6.0 ARL of the ARL of the EWMA chart 237.05 0.30 21.0 0.05 3.02 Simulated ARL With the Test 48.12 0.0 2.88 6.615 3.22 1.09 0.5 1.70 0. Comparison ofthe 0.limits 3735.28 308.43 3.5 2.24 2.83 52. or even when the shift is at the critical value.3 26.75 5.73 43.82 2.5 3.16 1.5 3.0 0.85 9.36 Without the Test With Limits of *3u* the.38 158.51 0.77 0.58 2.00 When the shift is small. This is potentially undesirable but can be compensated for by selecting a critical value that is somewhat smaller than what is actually desired or by narrowing the limits of the chart so that the frequency of false alarms increases somewhat.07 0.27 7. however. Comparison 0.04 95% Confidence Limits for Simulation ARL 6.59 2.38 158. As an example.86 0.35 0.5 1.24 2.234 HERBERT MOSKOWITZ.10 3.76 47.20 0.28 2.0 1.03 370.29 14.13 107.04 95% Confidence Limits for Simulation 247. This is the same ARL as that of the standard Shewhart chart (Table 1a).39 0.69 2. WARDELL Comparison of the Size of the Mean Shift (in terms of Us) ARL TABLE 1 With Versus Without the Likelihood Simulated ARL With the Test ARL Ratio Test 95% Confidence Limits for Simulation ARL Without the Test a. ROBERT D.33 3. Notice.0 1. PLANTE. Here we have chosen the control limits of the Shewhart chart such that when the likelihood ratio method is used to test for false alarms.5 1. the ARL using the likelihood ratio test is longer than with the Shewhart chart alone.08 0.0 2.87 8. Table lc shows the results when the Shewhart limits are changed to k2.
602 5.5 2.5 3.475 2.610 7.0 Mean Shift (in terms of on) 1443.252 5.121 1.269 1.443.312 17.142 145.940 21.0 1.940 ARL Simulated ARL With the Test and Limits of 13~2 Simulated ARL With the Test and Limits of k2.5 3.0 0.064 2.984 * The distribution is assumed to be the exponential until the shift occurred was 100.0 370.063 11.694 1. if the shift does not occur until after the point where the likelihood ratio falls below 1.649 2. 369. the narrower limits allow the chart to detect true shifts more quickly.443.468 3.28 1 364.946 37.670 26 1.5 1. 367.240 distribution.97 6. For example. .656 32.414 13.149 4.979 7.015 6.5 2.0 0.349 60.5 1.458 4.305 2.301 3.634 2.8 11 85. and that is why the run-length clock is restarted after any out-of-control signal is observed.133 143.0 Size of the Mean Shift (in terms of a~) 369.706 13.791 369.0 2.73 43.133 152.33 3. 5.89 14.224 16. any signal will be deemed a false signal.869 52. Simulated values ARL whenthe underlying distribution theprocess of failure mechanism* used is to determine likelihoodratio the 0.0 0.253 Without the Test With Limits of &3u.560 369.993 27.819 4.050 35.62~~ 0.968 69.115 1.85~~ c.976 24.124 14.28 1 400.0 1.5 2.799 2.443.335 3.0 1.836 39.0 2.38 158.949 6.RUN-LENGTH DISTRIBUTIONS TABLE OF CONTROL 2 CHARTS 235 Simulated oJtheShewhart ARL Chart UsedWith theLikelihoodRatio TestWhenthe Time Until the MeanShift is Delayed Accordingto an Exponential Distribution Mean Shift (in terms of a2 ) Average Number of Observations Until the Shift Occurs 50 100 200 500 a.905 3. Limits of theShewhart chartareat k3az 0.133 155.133 158. Simultaneously.573 7.824 12.508 5.5 3.678 3.114 10.0 2. Our procedure acknowledges this possibility.449 11.595 Average Number of Observations Until the Shift Occurs 50 100 200 500 b.215 8.281 447. Limits of the Shewhart chartare at k2.28 1 429. ARL for a Delayed Shift The above case of an immediate shift is the most favorable condition when the likelihood ratio test is used to check for false alarms.695 77.126 3.349 36.24 2. The mean number of observations without increasing the frequency of false alarms.00 837.220 3.259 2.2.5 1.725 5.
85u. when the limits are tightened to +2. But when small shifts occur.62~~~ and &3uz. this is not viewed as a major drawback of the likelihood ratio method. In this case. The decision on where to set such limits would depend upon the economic trade-off of obtaining more false alarms versus detecting shifts sooner. there still exists the problem of detecting shifts more slowly. when shifts occur. when there is no shift. For example.. however. which would yield a longer in-control ARL but would not detect shifts as quickly. they are about three to four percent of the ARL. Our procedure has been conceived and designed to assist operators in circumstances when they are unsure whether a signal is a false alarm or not. the ratio does not fall below 1 until the 212th observation. if the underlying distribution of the process failure mechanism is exponential. However. and more guidance is needed in these circumstances for determining whether the signal is a false alarm.236 HERBERT MOSKOWITZ.62~~. PLANTE. Again. we could establish the limits between k2. it is possible to derive a new run-length distribution for the Shewhart chart when a shift occurs (see the Appendix). For example. the average time to detect those shifts increases as the mean time to shift increases. However. the performance of the likelihood ratio method improves by explicitly incorporating the underlying distribution of the process failure mechanism into the likelihood ratio calculation.. but shifts are detected more quickly. The second case gives an in-control ARL of about 370 again and can thus be compared with the Shewhart chart per se. this increase in time to detect shifts would be unacceptable. thus providing an obvious signal that the process is out of control. when the time until the mean shift follows an exponential distribution with mean 100. is used to Table 2c shows the ARL values when the new run-length distribution find the likelihood ratio. this does not invalidate the method. while not appreciably increasing the frequency of false alarms. the frequency of false alarms is decreased by more than two times. . This new run-length distribution can then be used in the numerator of (8) to determine new likelihood ratios. However. Table 2b shows the results when the control limits are reduced to k2. As before. for a shift of one standard deviation. For most decision makers. the frequency of false alarms is very low. where the control limits of the Shewhart chart were set at *3u. the observation will likely exceed the control limits significantly. We have not included the confidence intervals for the simulation. WARDELL To evaluate the effect of delayed shifts. As before. The proposed likelihood ratio test performs well under these conditions. When the shift is large. for Shewhart limits of +3u. when there is a delay in the process shift. When small shifts occur. The average time to detect large shifts (2uf or larger) is higher than with the Shewhart chart alone. the ARL is about the same as that of the Shewhart chart without the likelihood test. observations that exceed the control limits will do so marginally. the likelihood ratio is as shown in Figure 10. Hence. If the time that the process shifts follows an exponential distribution. and k2. However. and its mean can be estimated. limits are used. it is possible to narrow the limits to help detect shifts more rapidly. even when the average time until the shift occurs is high. we assumed that the time of the shift in the mean followed an exponential distribution. using the narrow limits with the likelihood ratio test detects the shift more quickly. As discussed previously. but. ROBERT D. Again.85~~. AND DON G. the in-control ARL is the same as that of the Shewhart chart alone. this can be offset by narrowing the control limits. Table 2a shows the simulated ARL values as a function of the mean number of observations until the shift occurs. When ?3u. as with earlier results. with mean time until failure equal to 100 observations.
RUN-LENGTH DISTRIBUTIONS OF CONTROL CHARTS 231 Size of the shift in standard deviations 1 -2 -3 0 50 100 Run Length 150 200 250 FIGURE 10. this method requires no information on the prior distribution of the size of the shift in the process mean. We have shown that with Shewhart limits of +3 standard deviations. Further. However.+RL under most circumstances when compared with the traditional Shewhart chart used alone. such as incorporation of the risk attitude of the decision maker. The proposed procedures use basic statistical concepts to aid in making processcontrol decisions. In its simplest form. Likelihood Distribution. We have shown that the proposed procedure performs well in terms of . Also. at the same time. More advanced decision-making methodologies could be used to enhance the procedure. the time to detect shifts increases. Although the likelihood ratio method we have developed is explicitly statistical. the results appear to be robust with respect to an assumed prior distribution of possible shifts in a process mean but not with respect to the average shift size derived from the prior distribution. which allows us to compute the posterior probability that a process is truly out of control given that an out-of-control signal is obtained at a particular run length. . the likelihood methodology significantly reduces the frequency of false alarms. An economic model will give specific guidelines for setting the control limits to optimally balance the time to detect shifts and the frequency of false alarms. it is possible to use a prior distribution. Discussion We have introduced a straightforward but useful method for assessing the validity of out-of-control signals given by SPC charts. this method could be incorporated into a decision support/knowledge-based system that could compute the likelihood ratios and make suggestions (with explanations) to the user about the possibility of a signal being a false alarm. we plan to more formally develop an economic model in the future. Ratios When the Process Failure Mechanism is Included in the Run-Length 6. which improves the time to detect shifts considerably but increases the frequency of false alarms to a small degree. We also have shown that we can tighten the limits. However.
The conditional probability in the first term of (A4) can be given as P(N = VI T = i) = q&plq. then we can write (A2) as P(T= t) = ST’. If the shift occurs at any point between v and v + 1. is the joint probability of the following events: that no false alarm was given before the mean shifted (represented by qk). and P( T > v) is the probability that it has not. we assume that it occurred at observation v. and that a signal was given on observation v. then we can write p( T = t) = 1”’ If we let r = e-l”.1 . fort = 0. (A51 a signal outside of the Shewhart limits when fori v. (A4) We first simplify the second term of (A4). and q1 is 1 . PLANTE. . Let the random variable T represent the time at which the mean shifts. given that the mean shifted at time i. The random variable T is obviously continuous. AND DON G. This is the probability of obtaining a false alarm at observation v and is P(N= vlT= i) =poq6-‘. i e-‘l’dt = e-t/T( 1 . This expression shows that the probability of getting an observation outside of the limits on the vth observation. . However. ROBERT D. . (Al) P( T -C V) is the probability that the mean has already shifted. Again we let N be the run length.-I-‘). (A61 where pI is the probability of obtaining a signal outside of the Shewhart limits when the mean has shifted. If we make this assumption. Therefore. Incorporating the Distribution of Shift Time into the Run-Length Distribution of the Shewhart Chart Here we show how the underlying distribution of the process failure mechanism can be combined with the geometric run-length distribution of the Shewhart chart to obtain a new run-length distribution. distribution is a geometric (A3) Note that this discrete version of the exponential bution.po.. that no signal was given v . The probability of obtaining a signal outside of the control limits depends on whether or not the mean has shifted. and the mean value of T be T. In this case we are defining the run length as the number of observations required to obtain an out-of-control signal from the time the process is either initiated or adjusted to target. where p.i observations after it shifted (represented by q. We assume that the underlying distribution of the process failure mechanism is the exponential distribution.pl. for i < v. as defined above.238 HERBERT MOSKOWITZ. WARDELL Appendix.-‘-i.Y. . The conditional probability in this term is the probability that the observation has exceeded its limit. and qo is 1 .e-‘/~). given that the shift has not yet occurred. 1. We can now write (A 1) as v-1 P(N= v) = 2 P(N= i=l distri- vlT= i)sr’+ 5 P(N= i=u vlT= i)sr’. we can write the probability as P(N=v)=P(N=vlT-cv)P(T<v)+P(N=vlT>v)P(T>v). is the probability of obtaining the mean is on target. (AZ) and s = 1 . we discretize it for our purposes.
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