Open access peer-reviewed chapter

Simulation-Based Comparative Analysis of Nonparametric Control Charts with Runs-Type Rules

By Ioannis S. Triantafyllou

Submitted: November 9th 2019Reviewed: January 7th 2020Published: March 20th 2020

DOI: 10.5772/intechopen.91040

Downloaded: 118

Abstract

In this chapter, we study well-known distribution-free Shewhart-type monitoring schemes based on order statistics. In order to empower the in- and out-of-control performance of the control charts being under consideration, several runs-type rules are enhanced. The simulation-based experimentation carried out reveals that the proposed schemes achieve remarkable efficiency for detecting possible shifts in the distribution of the underlying process.

Keywords

  • distribution-free monitoring schemes
  • average run length
  • false alarm rate
  • Lehmann alternatives
  • statistical process control
  • order statistics

1. Introduction

Statistical process control is widely applied to monitor the quality of a production process, where no matter of how thoroughly it is maintained, a natural variability always exists. Control charts help the practitioners to identify assignable causes so that the state of statistical control can be accomplished. Generally speaking, when a cast-off shift in the process takes place, a control chart should detect it as quickly as possible and produce an out-of-control signal.

Shewhart-type control charts were introduced in the early work of Shewhart [1], and since then, several modifications have been established and studied in detail. For a thorough study on statistical process control, the interested reader is referred to the classical textbooks of Montgomery [2] or Qiu [3]. Most of the monitoring schemes are distribution-based procedures, even though this assumption is not always realized in practice. To overcome this obstruction without disrupting the primary formation of the traditional control charts, several nonparametric (or distribution-free) monitoring schemes have been proposed in the literature. The plotted statistics being utilized for constructing such type of control charts are related to well-known nonparametric testing procedures. Among others, a variety of distribution-free control charts appeared already in the literature are based on order statistics; see, e.g., Chakraborti et al. [4], Balakrishnan et al. [5], or Triantafyllou [6, 7]. For an up-to-date account on nonparametric statistical process control, the reader is referred to the review chapter of Koutras and Triantafyllou [8], the recent monograph of Chakraborti and Graham [9], or Qiu [10, 11].

In the present chapter, we study well-known distribution-free Shewhart-type monitoring schemes based on order statistics. The general setup of the control charts being in consideration is presented in Section 2, while their performance characteristics are investigated based on the algorithm described in Section 3. In order to enhance the ability of the proposed monitoring schemes for detecting possible shifts of the process distribution, some well-known runs-type rules are considered. In Section 4, we carry out extensive simulation-based numerical comparisons that reveal that the underlying control charts outperform the existing ones under several out-of-control scenarios.

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2. The setup of well-known nonparametric control charts based on order statistics

Let us assume that a reference random sample of size m, say X1,X2,,Xm, is drawn independently from an unknown continuous distribution F, namely, when the process is in-control. The control limits of the distribution-free monitoring scheme are determined by exploiting specific order statistics of the reference sample. In the sequel, test samples are drawn independently of each other (and also of the reference sample) from a continuous distribution G, and the decision whether the process is still in-control or not rests on suitably chosen test statistics. The framework for constructing nonparametric control charts based on order statistics calls for the following step-by-step procedure.

Step 1.Draw a reference sample of size m, namely, X1,X2,,Xm, from the process when it is known to be in-control.

Step 2.Form an interval by choosing appropriately a pair of order statistics from the reference sample (say, e.g., XaXb,where1a<bm).

Step 3.Draw independently future (test) samples of size n, namely, Y1,Y2,,Yn, from the underlying process.

Step 4.Pick out lorder statistics (0<ln) from each test sample.

Step 5.Determine the number of observations of each test sample, say Rthat lie between the limits of the interval XaXb.

Step 6.Configure the signaling rule by utilizing both the statistics Rand the lordered test sample observations as monitoring statistics.

The implementation of the above mechanism does not require the assumption of any specific probability distribution for the underlying process (measurements). The reference sample (usually of large size) is drawn from the underlying in-control process, while test (Phase II) samples are picked out from the future process in order to decide whether the process remains in-control or it has shifted to an out-of-control state. The proposed monitoring scheme is likely to possess the robustness feature of standard nonparametric procedures and is, consequently, less likely to be affected by outliers or the presence of skewed or heavy-tailed distributions for the underlying populations.

It is straightforward that the proposed framework requires the construction of more than one control charts, which monitor simultaneously the underlying process. In fact, the design parameter lis connected to the number of the control charts which are needed to be built for trading on the aforementioned mechanism. Indeed, for each one of the lorder statistics from the test sample, a separate two-sided control chart should be constructed.

The family of distribution-free monitoring schemes presented earlier includes as special cases some nonparametric control charts, which have been already established in the literature. For example, the monitoring scheme established by Balakrishnan et al. [5] calls for the following plotted statistics:

  • A quantile Yj:nof the test sample which is compared with the control limits XaXb

  • The number of observations from the test sample that lie between the control limits

It goes without saying that the control chart introduced by Balakrishnan et al. [5] (Chart1, hereafter) belongs to the family of monitoring schemes described previously. In fact, the BTKchart could be seen as a special case of the aforementioned class of distribution-free control schemes with l=1. According to Chart1, the process is declared to be in-control, if the following conditions hold true

Xa:mYj:nXb:mandRr,E1

where ris a positive integer.

In addition, the monitoring scheme introduced by Triantafyllou [6] (Chart2, hereafter) takes into account the location of two order statistics of the test sample drawn from the process along with the number of its observations between the control limits. In other words, the aforementioned control chart could be viewed as a member of the general class of nonparametric monitoring schemes with l=2. According to Chart2, the process is declared to be in-control, if the following conditions hold true

Xa:mYj:nYk:nXb:mandRr,E2

where ris a positive integer.

In a slightly different framework, Triantafyllou [7] proposed a distribution-free control chart based on order statistics (Chart3, hereafter) by taking advantage of the position of single ordered observations from both test and reference sample. More precisely, Chart3 asks for an order statistic of each test sample (say Yj:n) to be enveloped by two prespecified observations Xa:mand Xb:mof the reference sample, while at the same time an ordered observation of the reference sample (say Xi:m) be enclosed by two predetermined values of the test sample Yc:nYd:n. Chart3 makes use of an in-control rule, which embraces the following three conditions:

Condition 1.The statistic Yj:nof the test sample should lie between the observations Xa:mand Xb:mof the reference sample, namely, Xa:mYj:nXb:m.

Condition 2.The interval Yc:nYd:nformulated by two appropriately chosen order statistics of the test sample should enclose the value Xi:mof the reference sample, namely, Yc:nXi:mYd:n.

Condition 3.The number of observations of the Y-sample that are placed enclosed by the observations Xa:mand Xb:mshould be equal to or more than r, namely, Rr.

3. The simulation procedure and some results

In the present section, we describe the step-by-step procedure which has been followed in order to determine the basic performance characteristics of monitoring schemes mentioned previously. Two well-known runs-type rules are implemented in order to improve the performance of the control charts being considered. More precisely, if we denote by LCLand UCLthe lower and the upper control limit of the underlying monitoring scheme, we apply the following runs rules

  • The 2-of-2 rule. Under this scenario, an out-of-control signal is produced from the control chart, whenever two consecutive plotted points fall all of them either on or above the UCLor all of them fall on or below the LCL(see, e.g., Klein [12]).

  • The 2-of-3 rule. Under this scenario, an out-of-control signal is produced from the control chart, whenever two out of three consecutive plotted points fall outside the control limits LCLUCLof the corresponding scheme.

We next illustrate the detailed procedure for determining the performance of Chart2 enhanced with the 2-of-3 rule. It goes without saying that a similar algorithm has been constructed in order to study the corresponding characteristics of the remaining control schemes, namely, Chart1 and Chart3 enhanced with either the 2-of-2 or the 2-of-3 runs rule.

Step 1.Generate a reference sample of size mfrom the in-control distribution Fand k2 test samples of size nfrom the out-of-control distribution G.

Step 2.Determine the control limits of the monitoring scheme Chart2, by selecting appropriately the parameters a,b,r.

Step 3.Calculate the test statistics Yj,Yk,Rfor each test sample, and examine whether Chart2 produces an out-of-control signal or not, namely, whether at least one of the conditions mentioned in (2) is violated.

Step 4.Define a dummy variable Ti,i=1,2,,k2for each test sample separately. The variable Titakes on the value 0 when all conditions in (2) are satisfied, while it takes on the value 1 otherwise.

Step 5.Determine all consecutive (uninterrupted) triplets consisting of Ti'selements, namely, all triplets TiTi+1Ti+2,i=1,,k22. Define the dummy variable Dj,j=1,2,,k22for each triplet separately. The variable Djtakes on the value 0 when the triplet consists of at least two 0s, while it takes on the value 1 otherwise.

Step 6.Calculate the alarm rate of the monitoring scheme as AR=j=1k22Dj/k22. When F = G, the aforementioned probability indicates the false alarm rate of the monitoring scheme, while in case of different distributions F, Gthe ARcorresponds to its out-of-control alarm rate.

Step 7.Define a variable RLh,h=1,2,,Hwhich counts the number of Dj'selements, till the first appearance of a Djequal to 1. The so-called average run length of the monitoring scheme is calculated as ARL=h=1HRLh/H. When F = GFG, the aforementioned quantity indicates the in-control (out-of-control) average run length of the monitoring scheme.

All steps 1–7 are repeated k1 times and the performance characteristics of the proposed Chart2 enhanced with 2-of-3 runs rule, namely, the false alarm rate (FAR, hereafter), the out-of-control alarm rate (ARout, hereafter), the in-control average run length (ARLin, hereafter), and the out-of-control run length (ARLout, hereafter) are estimated as the mean values of the corresponding k1 results produced by steps 6 and 7, respectively.

In order to ascertain the validity of the proposed simulation procedure described above, we shall first apply the algorithm without embodying any runs-type rule and compare the simulation-based outcomes to the corresponding results produced by the aid of the theoretical approximation appeared in Triantafyllou [6]. The simulation study has been accomplished based on the R software environment and involves 10.000 replications. Table 1 displays several designs of the monitoring scheme mentioned as Chart2 with a nominal level of in-control performance. Since we consider the same designs as those presented by Triantafyllou [6], the exact FARs have been taken from his Table 1. As it is easily observed, the simulation-based results seem to be quite close to the exact values in all cases considered. For example, let us assume that we draw a reference sample of size m = 60 and test samples of size n = 5. In order to achieve a prespecified in-control performance level, namely, FARequal to 1%, the remaining parameters are determined as a = 1, j = 2, k = 4, and r = 1. Under the aforementioned design, Triantafyllou [6] computed the exact FARequal to 0.0096, while the simulation-based procedure proposed in the present chapter gives a corresponding FARvalue equal to 0.0116.

Referencesample
4060
n(a, j, k, r)Exact FARSimulated FAR(a, j, k, r)Exact FARSimulated FAR
5(1, 2, 3, 3)0.01140.0119(1, 2, 4, 1)0.00960.0116
(3, 2, 3, 2)0.06150.0632(4, 3, 4, 2)0.04780.0507
(4, 3, 4, 2)0.09990.0897(6, 3, 4, 2)0.09690.1044
11(2, 4, 8, 4)0.01160.0158(4, 4, 7, 5)0.01080.0098
(1, 2, 4, 5)0.04310.0551(7, 4, 7, 4)0.05180.0573
(1, 6, 10, 5)0.04320.0437(6, 3, 6, 5)0.10300.1084
25(4, 8, 12, 4)0.01390.0150(9, 10, 14, 5)0.00970.0100
(5, 14, 17, 5)0.01370.0126(17, 12, 14, 5)0.10310.1131
(10, 11, 14, 4)0.09280.1049(15, 11, 15, 4)0.10370.1130
Referencesample
100200
n(a,j,k,r)Exact FARSimulated FAR(a,j,k,r)Exact FARSimulated FAR
5(3, 3, 4, 3)0.01190.0105(7, 2, 3, 2)0.01320.0159
(5, 2, 4, 3)0.05050.0566(10, 2, 4, 2)0.04790.0473
(1, 1, 5, 3)0.09340.1076(21, 3, 4, 2)0.10080.0937
11(4, 3, 8, 5)0.01460.0107(8, 3, 6, 4)0.01050.0103
(7, 3, 7, 6)0.04600.0506(16, 4, 6, 3)0.01060.0097
(7, 3, 8, 5)0.05240.0603(26, 4, 6, 3)0.04980.0492
25(19, 11, 14, 4)0.01130.0122(39, 11, 14, 4)0.00930.0090
(24, 11, 14, 4)0.04900.0463(45, 13, 16, 6)0.04790.0445
(19, 14, 17, 5)0.05040.0518(45, 14, 17, 4)0.09950.0992

Table 1.

Exact and simulation-based FARfor a given design of Chart2.

A different approach for appraising the ability of a monitoring scheme to detect a possible shift in the underlying distribution is based on its run length. We next focus on the waiting time random variable N, which corresponds to the amount of random test samples up to getting the first out-of-control signal from the monitoring scheme, in order to evaluate its performance. Table 2 displays the exact and the simulation-based average run length for several designs of Chart2 that meet a desired nominal level of in-control performance. The exact values of ARLneeded for building up Table 2, have been picked up from Triantafyllou [6] and more specifically from Table 2 therein.

ARL0mn(a, b)(j, k, r)Exact ARLinSimulated ARLin
3702005(2, 188)(2, 3, 2)376.4369.9
11(3, 180)(2, 3, 3)367.7377.7
25(14, 178)(6, 9, 14)369.9369.2
3005(5, 287)(2, 3, 2)358.9365.0
11(19, 285)(4, 7, 4)372.6374.8
25(20, 213)(6, 9, 7)367.2373.8
4005(5, 379)(2, 3, 2)378.7379.1
11(12, 366)(3, 6, 4)384.8378.4
25(33, 296)(7, 10, 9)373.0377.9
5005(6, 473)(2, 3, 2)369.8372.6
11(15, 440)(3, 5, 4)369.1374.8
25(32, 362)(6, 9, 6)369.4365.1

Table 2.

Exact and simulation-based ARLinfor a given design of Chart2.

As it is readily observed, the simulation-based results seem to be quite close to the exact values in all cases considered. For example, let us assume that we draw a reference sample of size m = 400 and test samples of size n = 5. In order to achieve a prespecified in-control performance level, namely, ARLinequal to 370, the remaining parameters are determined as a = 5, b = 379, j = 2, k = 3, and r = 2. Under the aforementioned design, Triantafyllou [6] computed the exact ARLinequal to 378.7, while the simulation-based procedure proposed in the present chapter gives a corresponding ARLinvalue equal to 379.1.

We next focus on the ability of the distribution-free monitoring scheme defined in (1), under the assumption that the process has shifted to an out-of-control state. When the process has shifted from distribution Fto G, then the ability of the scheme to detect the underlying alteration is associated with the function GF1. For example, under the well-known Lehmann-type alternative (see, e.g., van der Laan and Chakraborti [13]), the out-of-control distribution function can be expressed as G=Fγ, where γ>0. Table 3 sheds light on the out-of-control performance of Chart2 by offering the corresponding alarm rate of the proposed scheme under the Lehmann alternatives with parameter γ=0.2,10. Since we consider the same designs as those presented by Triantafyllou [6], the exact values of ARouthave been copied from his Table 3, while the simulated results have been produced by following the procedure described earlier.

Referencesample
4060
n(a, j, k, r)Exact ARoutSimulated ARout(a, j, k, r)Exact ARoutSimulated ARout
5(2, 2, 4, 3)0.8284
0.5448
0.8209
0.5244
(2, 2, 4, 4)0.7890
0.3931
0.7783
0.3589
(3, 2, 4, 2)0.8853
0.7351
0.8758
0.7403
(4, 2, 4, 3)0.8800
0.7161
0.8805
0.7095
11(2, 4, 8, 4)0.8883
0.5357
0.8825
0.5502
(7, 4, 7, 4)0.9812
0.9076
0.9737
0.9090
(3, 5, 8, 4)0.8483
0.7556
0.8424
0.7612
(6, 5, 9, 4)0.9135
0.9678
0.9278
0.9614
25(9, 11, 14, 4)0.9983
0.9978
0.9978
0.9978
(12, 12, 14, 4)0.9938
0.9982
0.9922
0.9970
(10, 11, 14, 4)0.9991
0.9993
0.9991
0.9994
(9, 10, 14, 5)0.9971
0.9759
0.9929
0.9763
Referencesample
100200
n(a, j, k, r)Exact ARoutSimulated ARout(a, j, k, r)Exact ARoutSimulated ARout
5(5, 2, 4, 3)0.8530
0.6062
0.8513
0.5815
(10, 2, 4, 2)0.8609
0.6331
0.8661
0.6414
(3, 3, 4, 3)0.4783
0.3333
0.4854
0.3867
(15, 2, 4, 2)0.9056
0.8300
0.8908
0.8237
11(7, 3, 8, 5)0.9888
0.8133
0.9693
0.8059
(25, 5, 8, 4)0.9527
0.9936
0.9573
0.9912
(19, 5, 7, 4)0.9812
0.9982
0.9768
0.9831
(26, 4, 8, 4)0.9895
0.9953
0.9835
0.9913
25(19, 11, 14, 4)0.9982
0.9994
0.9974
0.9962
(39, 11, 14, 4)0.9989
0.9999
0.9963
0.9963
(24, 11, 14, 4)0.9996
0.9999
0.9989
0.9989
(45, 13, 16, 6)0.9942
0.9999
0.9963
0.9962

Table 3.

Exact and simulation-based ARoutfor a given design of Chart2.

Each cell contains the AR’s attained for Y = 0.2 (upper entry) and Y = 10 (lower entry).

Each cell contains the ARs attained for γ = 0.2 (upper entry) and γ = 10 (lower entry).

Based on the above table, it is evident that the proposed simulation algorithm seems to come to an agreement with the corresponding exact values of the out-of-control alarm rate of Chart2. For example, for a design (a, j, k, r) = (10, 2, 4, 2) with reference sample size m = 200 and test sample size n = 5, the exact alarm rate for a shift to Lehmann alternative with parameter γ = 0.2 (10) equals to 86.09% (66.31%), while the simulation-based alarm rate of Chart2 is quite close to the exact one, namely, it equals to 86.61% (64.14%).

4. The proposed control charts enhanced with runs-type rules

In this section, we carry out an extensive numerical experimentation to appraise the ability of the distribution-free monitoring schemes Chart1, Chart2, and Chart3 enhanced with runs-type rules for detecting possible shifts of the underlying distribution. The computations have been made by the aid of the simulation procedure presented in Section 3. Tables 4 and 5 display the improved out-of-control performance of Chart1, when the 2-of-3 runs-type rule is activated. We first compare the performance of the control charts by using a common ARLinand then evaluating the respective ARLoutfor specific shifts. Consider the case of a process with underlying in-control exponential distribution with mean equal to 2 and out-of-control exponential distribution with mean equal to 1. In Table 4, we present the ARLoutvalues of Chart1 and the proposed Chart1 enhanced with 2-of-3 runs-type rule, for ARLin=370,500, m=100,500, and n=5,11. The remaining design parameters a,b,j,r, were determined appropriately, so that ARLintakes on a value as close to the nominal level as possible. It is evident that the proposed monitoring scheme performs better than the one established by Balakrishnan et al. [5] for all cases considered. The fact that the ARLouts that exhibit Chart1 with 2-of-3 runs-type rule are smaller than the respective ones of Chart1 indicates its efficacy to detect faster the shift of the process from the in-control distribution.

Chart1Chart1 with 2-of-3 runs rule
ARL0mn(a, b)jrExact ARLinARLout(a, b)jrExact ARLinARLout
3701005(2, 96)22363.715.77(3, 71)22378.0111.73
11(6, 83)55363.066.76(8, 71)45364.796.59
5005(7, 473)33382.0110.88(9, 352)22380.510.27
11(29, 444)45373.1416.71(17, 303)44360.99.29
5001005(3, 96)33499.8814.94(2, 71)22497.6612.69
11(6, 84)55485.857.79(4, 70)36511.127.13
5005(7, 476)33503.7712.62(8, 352)22488.6111.56
11(28, 454)45499.7927.63(17, 309)44489.455.62

Table 4.

Comparison of the ARLouts with the same ARLinfor Chart1.

Underlying distributions: Exponential with mean equal to 2 (in-control) and 1 (out-of-control) respectively.

Chart1Chart1 with 2-of-3 runs rule
θδARLARL
01499.88517.21
0.251562.33127.89
0.51386.0926.63
1161.223.83
1.518.011.44
212.231.06
0.251.2549.6935.07
0.51.2539.9613.72
11.2514.833.85
1.51.254.761.66
21.252.081.14
0.251.513.9117.77
0.51.512.329.43
11.57.073.65
1.51.53.531.85
21.51.981.26
0.251.756.5510.24
0.51.756.117.64
11.754.403.49
1.51.752.831.92
21.751.881.35
0.2524.046.93
0.523.875.49
123.173.09
1.522.372.03
221.771.45

Table 5.

Comparison of the ARLouts with the same ARLinfor Chart1 under normal distribution (θ, δ).

Underlying distributions: exponential with mean equal to 2 (in-control) and 1 (out-of-control), respectively.

It goes without saying that the nonparametric control charts are robust in the sense that their in-control behavior remains the same for all continuous distributions. However, it is of some interest to check over their out-of-control performance for different underlying distributions. We next study the performance of the proposed Chart1 enhanced with the 2-of-3 runs-type rule under normal distribution (θ, δ).

More specifically, the in-control reference sample is drawn from the standard normal distribution, while several combinations of parameters θ, δhave been examined. Table 5 reveals that the proposed Chart1 with 2-of-3 runs-type rule is superior compared to the existing Chart1 for almost all shifts of the location parameter θand the scale parameter δconsidered.

We next study the out-of-control performance of Chart2 presented in Section 2. In Table 6, three different FARlevels and several values of the parameters m,nhave been considered. For each choice, the ARvalues under two specific Lehmann alternatives corresponding to γ=0.4and γ=0.2are computed via simulation for both Chart2 and Chart2 enhanced with 2-of-2 runs-type rule.

Chart2Chart2 with 2-of-2 runs rule
FARmn(a, b)(j, k)rExact FARARout(a, b)(j, k)rExact FARARout
0.015011(3, 45)(4, 6)40.01030.4575
0.9239
(14, 35)(4, 6)10.01250.5527
0.9463
25(4, 45)(7, 9)70.01310.7756
0.9977
(11, 40)(7, 9)10.01100.9194
0.9989
10011(4, 92)(3, 5)30.01260.5832
0.9661
(23, 75)(3, 5)10.01240.6771
0.9782
25(6, 65)(6, 8)40.00920.8181
0.9992
(20, 90)(6, 8)10.01350.9563
0.9992
50011(19, 405)(3, 5)40.00990.5976
0.9736
(122, 350)(3, 5)10.01300.7278
0.9846
25(61, 420)(8, 10)50.00920.9023
0.9998
(130, 430)(8, 10)10.00890.9551
0.9998
100011(80, 894)(4, 6)50.01010.6106
0.9715
(300, 550)(4, 6)10.01100.6234
0.9715
25(125, 810)(8, 10)80.00980.9125
0.9998
(27, 800)(8, 10)10.00940.9644
0.9999
0.0055011(2, 45)(4, 6)40.00540.3250
0.8627
(2, 45)(4, 6)40.00560.4229
0.9990
25(4, 44)(8, 10)80.00490.6577
0.9935
(4, 44)(8, 10)80.00570.8633
0.9979
10011(2, 83)(3, 5)30.00460.7508
0.9983
(2, 83)(3, 5)30.00550.7620
0.9983
25(5, 88)(6, 8)40.00440.7508
0.9983
(5, 88)(6, 8)40.00540.9169
0.9989
50011(15, 420)(3, 5)40.00500.5234
0.9618
(15, 420)(3, 5)40.00540.6611
0.9799
25(54, 380)(8, 10)50.00460.8624
0.9997
(54, 380)(8, 10)50.00560.9288
0.9997
100011(66, 900)(4, 6)40.00490.5357
0.9594
(66, 900)(4, 6)40.00470.5667
0.9596
25(87, 830)(7, 9)70.00500.8832
0.9998
(87, 830)(7, 9)70.00580.9646
0.9998
0.00275011(2, 49)(4, 6)40.00260.3249
0.8627
(2, 49)(4, 6)40.00260.4352
0.9081
25(6, 44)(10, 11)150.00360.6179
0.9908
(6, 44)(10, 11)150.00310.7553
0.9947
10011(2, 94)(3, 5)30.00280.3722
0.9040
(2, 94)(3, 5)30.00250.5758
0.9670
25(4, 67)(6, 8)40.00250.6595
0.9960
(4, 67)(6, 8)40.00290.8722
0.9987
50011(12, 440)(3, 5)40.00250.4559
0.9479
(12, 440)(3, 5)40.00310.6099
0.9724
25(49, 445)(8, 10)50.00260.8250
0.9995
(49, 445)(8, 10)50.00330.9318
0.9995
100011(55, 900)(4, 6)40.00270.4673
0.9452
(55, 900)(4, 6)40.00330.4673
0.9529
25(77, 800)(7, 9)70.00270.8435
0.9997
(77, 800)(7, 9)70.00320.9356
0.9997

Table 6.

Comparison of the ARouts with the same FARfor Chart2.

Table 6 clearly indicates that, under a common FAR, the proposed Chart2 with the 2-of-2 runs-type rule performs better than Chart2, with respect to ARvalues, in all cases considered. For example, calling for a reference sample of size m=500, test samples of size n=11, and nominal FAR=0.0027, the proposed Chart2 with the 2-of-2 runs-type rule achieves alarm rate of 0.6099 (0.9724) for γ=0.4(γ=0.2), while the respective alarm rate for Chart2 is 0.4559 (0.9479).

Tables 7 and 8 shed more light on the out-of-control performance of the proposed Chart2 enhanced with appropriate runs-type rules. More specifically, the schemes being under consideration are designed such as a nominal in-control ARLperformance is attained. From the numerical comparisons carried out, it is straightforward that Chart2 with 2-of-2 rule becomes substantially more efficient than Chart2. Under Lehmann alternative with parameter γ = 0.5, the proposed chart exhibits smaller out-of-control ARLthan Chart2, and therefore it seems more capable in detecting possible shift of the process distribution.

Chart2Chart2 with 2-of-2 runs rule
ARL0mn(a, b)(j, k)rExact ARLinARLout(a, b)(j, k)rExact ARLinARLout
1001005(4, 99)(2, 3)2115.14.7(10, 80)(3, 5)1116.14.6
11(5, 78)(3, 4)388.92.8(10, 83)(2, 4)183.22.7
5005(15, 470)(2, 3)2109.85.2(50, 435)(2, 3)1101.74.9
11(20, 410)(4, 6)4119.76.8(50, 400)(2, 3)1122.52.2
2001005(3, 98)(2, 3)2185.36.7(10, 85)(2, 5)1204.81.5
11(4, 80)(3, 4)3187.73.5(8, 95)(2, 3)12213.3
5005(10, 482)(2, 3)2208.97.2(15, 435)(3, 5)1188.45.4
11(18, 420)(4, 6)4191.17.5(50, 420)(2, 3)1234.82.2

Table 7.

Comparison of the ARLouts with the same ARLinfor Chart2.

θδChart2Chart2 with 2-of-3 runs rule
01446.6502.1
0.251163.9127.9
0.5151.6426.6
117.43.8
1.512.11.4
211.21.1
0.251.2535.735.1
0.51.2517.913.7
11.255.03.9
1.51.252.11.7
21.251.31.1
0.251.515.017.7
0.51.59.89.4
11.54.13.6
1.51.52.11.8
21.51.41.3
0.251.758.510.6
0.51.756.57.6
11.753.53.4
1.51.752.11.9
21.751.51.3
0.2525.76.9
0.524.85.4
123.13.1
1.522.02.0
221.51.4

Table 8.

Comparison of the ARLouts with the same ARLinfor Chart2 under normal distribution (θ, δ).

In addition, Table 8 depicts the out-of-control ARLperformance of Chart2 under normal distribution. More precisely, several shifts of both location and scale parameter have been considered, and Chart2 with 2-of-3 rule detects the underlying shift sooner than Chart2 does in almost all cases examined.

Finally, Tables 9 and 10 present simulation-based comparisons of the nonparametric monitoring scheme Chart3 with 2-of-2 runs rule versus Chart3 established by Triantafyllou [7]. For delivering the numerical results displayed in Tables 9 and 10, the Lehmann alternatives have been considered as the out-of-control distribution.

Chart3Chart3 with 2-of-2 runs rule
FARmn(a, b)(i, c, j, d)rExact FARARout(a, b)(i, c, j, d)rExact FARARout
0.0110011(6, 93)(7, 2, 4, 7)40.01040.5363
0.9537
(15, 75)(7, 2, 4, 7)10.00860.7064
0.9825
25(5, 86)(6, 2, 6, 12)100.01020.8181
0.9992
(10, 79)(6, 2, 6, 12)10.01080.9103
0.9992
50011(31, 484)(33, 2, 4, 7)60.01080.5335
0.9583
(80, 300)(33, 2, 4, 7)10.00880.7326
0.9876
25(30, 450)(49, 2, 7, 9)80.01010.9122
0.9999
(75, 300)(49, 2, 7, 9)10.00890.9585
0.9999
100011(60, 967)(65, 2, 4, 7)60.00990.5311
0.9584
(155, 690)(65, 2, 4, 7)10.00960.7161
0.9873
25(30, 960)(99, 2, 7, 9)80.00980.9181
0.9999
(165, 600)(99, 2, 7, 9)10.01290.9778
0.9999
0.00510011(4, 93)(5, 2, 4, 7)40.00510.4134
0.9198
(14, 75)(5, 2, 4, 7)10.00540.6312
0.9787
25(4, 88)(5, 2, 6, 12)100.00510.7508
0.9983
(10, 81)(5, 2, 6, 12)10.00510.9227
0.9989
50011(26, 478)(31, 2, 4, 7)50.00520.5094
0.9536
(70, 300)(31, 2, 4, 7)10.00490.6653
0.9827
25(30, 450)(43, 2, 7, 9)80.00520.8755
0.9998
(70, 314)(43, 2, 7, 9)10.00460.9485
0.9998
100011(60, 985)(65, 2, 4, 7)60.00500.5299
0.9583
(150, 700)(65, 2, 4, 7)10.00470.7051
0.9870
25(30, 960)(87, 2, 7, 9)80.00500.8832
0.9998
(150, 600)(87, 2, 7, 9)10.00560.9645
0.9998
0.002710011(3, 94)(4, 2, 4, 7)40.00290.3410
0.8905
(11, 75)(4, 2, 4, 7)10.00320.5283
0.9660
25(5, 86)(6, 2, 7, 9)70.00250.6951
0.9971
(9, 80)(6, 2, 6, 9)10.00240.8803
0.9988
50011(24, 480)(28, 2, 4, 7)40.00280.4715
0.9453
(70, 345)(28, 2, 4, 7)10.00240.6624
0.9834
25(30, 450)(38, 2, 7, 9)80.00270.8338
0.9996
(70, 320)(38, 2, 7, 4)10.00300.9497
0.9996
100011(53, 990)(55, 2, 4, 7)60.00270.4673
0.9452
(135, 705)(65, 2, 4, 7)10.00230.6445
0.9823
25(30, 960)(78, 2, 7, 9)80.00280.8479
0.9997
(145, 600)(78, 2, 7, 9)10.00290.9587
0.9997

Table 9.

Comparison of the ARouts with the same FARfor Chart3.

Chart3Chart3 with 2-of-2 runs rule
ARL0mn(a, b)(i, c, j, d)rExact ARLinARLout(a, b)(i, c, j, d)rExact ARLinARLout
1005010(1, 45)(2, 1, 2, 4)4101.062.3
1.02
(3, 40)(2, 1, 2, 4)1111.42.3
1.02
1005(3, 100)(4, 1, 2, 4)3123.514.73
1.22
(13, 78)(4, 1, 2, 4)1102.44.72
1.14
10010(2, 89)(3, 1, 2, 4)3101.822.31
1.02
(12, 81)(5, 5, 3, 5)1114.02.28
1.02
2005010(1, 48)(3, 1, 2, 4)3213.492.30
1.02
(3, 45)(2, 1, 2, 4)1187.52.23
1.02
1005(1, 100)(3, 1, 2, 4)2244.886.59
1.29
(10, 80)(3, 1, 2, 4)1230.95.62
1.24
10010(4, 94)(5, 5, 3, 5)4222.693.20
1.04
(10, 82)(5, 5, 3, 5)1192.23.10
1.04

Table 10.

Comparison of the ARLouts with the same ARLinfor Chart3.

Each cell contains the AR’s attained for Y = 0.5 (upper entry) and Y = 0.2 (lower entry).

Each cell contains the ARs attained for γ = 0.5 (upper entry) and γ = 0.2 (lower entry).

5. Conclusions

In the present chapter, we investigate the in- and out-of-control performance of distribution-free control charts based on order statistics. Several runs-type rules are employed in order to enhance the ability of the aforementioned nonparametric monitoring schemes to detect possible shifts in distribution process. The ARand the ARLbehavior of the underlying control charts is studied under several out-of-control situations, such as the so-called Lehmann alternatives and the exponential or the normal distribution model. The numerical experimentation carried out depicts the melioration of the proposed schemes with the runs-type rules. It is of some research interest to branch out the incorporation of such runs rules (or even more complicated) to additional nonparametric control charts based on well-known test statistics.

© 2020 The Author(s). Licensee IntechOpen. This chapter is distributed under the terms of the Creative Commons Attribution 3.0 License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Ioannis S. Triantafyllou (March 20th 2020). Simulation-Based Comparative Analysis of Nonparametric Control Charts with Runs-Type Rules, Quality Control - Intelligent Manufacturing, Robust Design and Charts, Pengzhong Li, Paulo António Rodrigues Pereira and Helena Navas, IntechOpen, DOI: 10.5772/intechopen.91040. Available from:

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