Closed-form expressions of the run-length distribution of the nonparametric double sampling precedence monitoring scheme

Abstract

A significant challenge in statistical process monitoring (SPM) is to find exact and closed-form expressions (CFEs) (i.e. formed with constants, variables and a finite set of essential functions connected by arithmetic operations and function composition) for the run-length properties such as the average run-length (ARL), the standard deviation of the run-length (SDRL), and the percentiles of the run-length (PRL) of nonparametric monitoring schemes. Most of the properties of these schemes are usually evaluated using simulation techniques. Although simulation techniques are helpful when the expression for the run-length is complicated, their shortfall is that they require a high number of replications to reach reasonably accurate answers. Consequently, they take too much computational time compared to other methods, such as the Markov chain method or integration techniques, and even with many replications, the results are always affected by simulation error and may result in an inaccurate estimation. In this paper, closed-form expressions of the run-length properties for the nonparametric double sampling precedence monitoring scheme are derived and used to evaluate its ability to detect shifts in the location parameter. The computational times of the run-length properties for the CFE and the simulation approach are compared under different scenarios. It is found that the proposed approach requires less computational time compared to the simulation approach. Moreover, once derived, CFEs have the added advantage of ease of implementation, cutting of on complex convergence techniques. CFE’s can also easily be built into mathematical software for ease of computation and may be recalled for further work.