A window-limited generalized likelihood ratio test for monitoring Poisson processes with linear drifts

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

  • Honghao Zhao
  • Lianjie Shu
  • Kwok-Leung Tsui

Detail(s)

Original languageEnglish
Pages (from-to)2975-2988
Journal / PublicationJournal of Statistical Computation and Simulation
Volume85
Issue number15
Publication statusPublished - 13 Oct 2015

Abstract

There is gradually increasing attention devoted to the monitoring of Poisson process due to its wide applications in industry quality control and health-care surveillance. However, most of the study focuses on the case with step shifts in Poisson means. Relatively little attention has been paid to the case with linear drifts in Poisson means. This paper extends the window-limited generalized likelihood ratio (WGLR) test from the monitoring of normal means to Poisson processes, with focus on linear drifts. The comparison results with the adaptive cumulative sum (ACUSUM) charts and the weighted CUSUM (WCUSUM) charts show that the WGLR chart generally provides better detection performance than the other alternative methods in both the zero-state and steady-state cases.

Research Area(s)

  • adaptive CUSUM, average run length, generalized likelihood ratio, linear drifts, weighted CUSUM