A robust CUSUM scheme with a weighted likelihood ratio to monitor an overdispersed counting process

doi:10.1016/j.cie.2018.09.029

CORC > 上海财经大学 > 上海财经大学

	A robust CUSUM scheme with a weighted likelihood ratio to monitor an overdispersed counting process
	Yu, Miaomiao 1; Wu, Chunjie 1; Wang, Zhijun 1; Tsung, Fugee 2
刊名	COMPUTERS & INDUSTRIAL ENGINEERING
	2018-12
卷号	126 页码:165-174
关键词	Weight function Robustness Overdispersion Poisson CUSUM scheme Fast initial response
ISSN号	0360-8352
DOI	10.1016/j.cie.2018.09.029
英文摘要	The Poisson cumulative sum (CUSUM) control chart is a method to monitor count data, which are commonly modeled by a Poisson distribution. However, the assumption of a Poisson distribution may not be valid in practice and the robustness of the Poisson CUSUM chart is shown to be poor when the volatility is greater than expected, a phenomenon known as overdispersion. Motivated by this, we propose an improved weighted Poisson CUSUM control chart based on the weighted log-likelihood ratio. For the purpose of discounting the unexplained volatility, smaller weights are assigned to the larger shifts. The continuity, monotonicity and convergence of the cumulative statistic proved in this paper make the design more practical. Compared with the conventional Poisson CUSUM and the Winsorized Poisson CUSUM control charts, the new weighted Poisson CUSUM scheme performs most robustly under overdispersion. In addition, the fast initial response (FIR) feature makes the chart more sensitive to start-up cases. A real-data example of monitoring daily orders on a start-up E-commerce company illustrates the superiorities of the proposed scheme.
WOS研究方向	Computer Science ; Engineering
语种	英语
出版者	PERGAMON-ELSEVIER SCIENCE LTD
WOS记录号	WOS:000450377200013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/447]
专题	上海财经大学
通讯作者	Wu, Chunjie
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, 777 Guoding Rd, Shanghai, Peoples R China; 2.Hong Kong Univ Sci & Technol, Dept Ind Engn & Decis Analyt, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Yu, Miaomiao,Wu, Chunjie,Wang, Zhijun,et al. A robust CUSUM scheme with a weighted likelihood ratio to monitor an overdispersed counting process[J]. COMPUTERS & INDUSTRIAL ENGINEERING,2018,126:165-174.
APA	Yu, Miaomiao,Wu, Chunjie,Wang, Zhijun,&Tsung, Fugee.(2018).A robust CUSUM scheme with a weighted likelihood ratio to monitor an overdispersed counting process.COMPUTERS & INDUSTRIAL ENGINEERING,126,165-174.
MLA	Yu, Miaomiao,et al."A robust CUSUM scheme with a weighted likelihood ratio to monitor an overdispersed counting process".COMPUTERS & INDUSTRIAL ENGINEERING 126(2018):165-174.