c Heldermann Verlag

ISSN 0940-5151

Economic Quality Control

Vol 21 (2006), No. 1, 43 57

Combined CUSUMShewhart Schemes for

Binomial Data
Manuel Cabral Morais and Ant
onio Pacheco

Abstract: The detection of upward shifts in a process parameter using a CUSUM scheme can
be improved by using an upper one-sided combined CUSUMShewhart scheme. Considerable
advantage is to be gained since combined schemes take advantage of two well known facts:
the Shewhart schemes behave well in case of a large shift, while CUSUM schemes allow a
fast detection of small and moderate shifts. Having this in mind, upper one-sided combined
CUSUMShewhart schemes for binomial data are discussed in detail in this paper. Numerical
comparisons between upper one-sided combined CUSUMShewhart schemes and upper onesided CUSUM schemes with a 50% head start are also carried out, leading to what we believe
surprising results.
Key Words: Statistical process control; control scheme; run length.

Introduction

Control charts are used to track a process performance over the time and identify the
presence of assignable causes that may aect the quality of the output. This statistical tool
was developed by Walter A. Shewhart of the Bell Telephone Laboratories in 1924. It has
gained widespread acceptance in industry, and is among the most important and widely
used devices in statistics (Stoumbos et al., [14]). Apart from manufacturing processes,
some of the current applications of control charts include: administration (Hawkins and
Olwell, [6] p. v); clinical chemestry (Westgard et al., [15]); epidemiology (Blacksell et al.,
[2]); fraud detection (Johnson, [7]); health care (Hawkins and Olwell, [6]); safety (Lucas,
[9]); sta management (Olwell, [12]); water and waste monitoring(Gibbons, [5]); and
also athletics, biology, environmental science, genetics, nance and law enforcement (see
Stoumbos et al., [14]).
The simplicity and the one-size-ts-all character of Shewhart schemes are responsible for
their popularity among practitioners. However, the fact that the Shewhart schemes use
the information only about the process given by the last observed value of their summary
statistics, and ignore any other information which might be contained in the previous
observed samples, is responsible for a serious limitation: they are not eective in the
detection of assignable causes that lead to small and moderate shifts in the parameter
being monitored.

44

Manuel Cabral Morais and Ant

onio Pacheco

The cumulative sum (or CUSUM) schemes for the process mean, introduced by Page
(1954), incorporate all the information in the sequence of observed values of a simple
summary statistic (such as the sample mean) and prove to be more eective than Shewhart
schemes for detecting small and moderate shifts in the process mean.
It comes as no surprise that considerable advantage is to be gained by using the combination of the Shewhart and CUSUM schemes since the former quickly detect large shifts,
and CUSUM schemes allows a fast detection of small and moderate shifts.
Statistical research in the area of combined CUSUMShewhart control schemes seems
to have been initiated by Westgard et al. [15]. These authors propose the use of this
sort of scheme for singular observations as an easier alternative to a standard CUSUM
control scheme with a V-mask, which had not been readily accepted in clinical chemistry
laboratories.
The proposal in [15] was taken up by Lucas [8], who developed a combined two-sided
CUSUMShewhart scheme restricted to the control of increase and decrease in the mean
of a normally distributed quality control characteristic, and to the comparison of nonmatched CUSUM and combined CUSUMShewhart schemes.
Yashchin [16] not only considers combined one-sided and two-sided CUSUMShewhart
schemes for normal data, but also addresses the use of combined CUSUMShewhart
control schemes for count data as also investigated in Abel [1]. In both papers the count
data was considered to follow a Poisson distribution.
As for applications (other than industrial quality control) of these combined schemes, we
mention the following papers. Blacksell et al. [2] describes an application of a combined
CUSUMShewhart scheme for controlling the mean of normally distributed data, where
the data refer to an enzyme-linked immunoabsorbent assay (ELISA). Gibbons [5] paper
refers to a detection monitoring program for waste disposal facilities. According to the
author the combined scheme is the only statistical procedure that is directly recommended
for use in intra-well monitoring by U.S. EPA (1989, 1992).
This short review of work related to the combined CUSUMShewhart quality control
schemes show that they are applied mainly for monitoring continuous variables and Poisson data. In this paper, we investigate the advantages of using the combined approach
for binomial data. Several run length measures such as average, standard deviation,
percentage points and alarm rate function are used for the analysis.

The Combined Scheme

The upper one-sided binomial CUSUM scheme is used to detect the increase in the expected value of the defectives count from the nominal value np0 to a larger value n(p0 +),

Combined CUSUMShewhart Schemes for Binomial Data

45

\{0} where = [0, 1 p0 ). The control scheme makes use of the following summary
statistic


u, N = 0
ZN =
(1)
max{0, ZN 1 + YN k}, N > 0
where u represents the initial value given to the summary statistic, and YN is the total
number of defectives in the N th sample. For a given , the random variables YN , N =
1, 2, . . ., are i.i.d. to Y Bi(n, p0 + ). Finally, k is the so called reference value.
The usual practice in maintaining an upper one-sided CUSUM control scheme for this
type of data (and certainly for other types of atributes and for continuous data) is to
trigger a signal as soon as ZN exceeds an upper control limit U CLC = x. However, it
seems reasonable that the upper one-sided CUSUM scheme gives a signal at the rst time
N such that
ZN > x or ZN ZN 1 > y

(2)

The reason for demanding (2) is that a single suciently large increment in the summary
statistic, say y, should also be taken as an indication of a shift in the process parameter,
even if the summary statistic does not exceed the upper control limit x.
The second condition in (2) is responsible for a signal at time N , when ZN ZN 1 =
YN k > y, or YN > y + k if ZN 1 = 0. Therefore, the combined decision rule (2)
corresponds to the simultaneous use of standard upper one-sided control schemes of the
types CUSUM and Shewhart, with summary statistics ZN and YN , respectively. This
combined scheme states that the process is out of control at time N if
ZN > x or YN > y + k.

(3)

Example 1:
The performance of an upper one-sided binomial CUSUM control scheme is illustrated
before and after combining it with an upper one-sided npscheme, using a set of simulated
data and a control scheme, both taken from Gan [4], pp. 453-4.
Table 2 contains the corresponding observed defective counts. The rst 50 observations
were drawn when the process was operating at the nominal mean level np0 = 100 0.05.
The next 20 observations were taken from the same process after a shift to n(p0 + ) =
100 (0.05 + 0.006).
The observed values of the CUSUM statistic ZN can be found in Table 1, for the reference
value k = 5.29 and the initial value u = 0 (that is, no head start has been given to the
scheme). The upper control limit of the CUSUM scheme is equal to U CLC = x = 18.3.
The upper one-sided binomial CUSUM scheme gives an out-of-control signal at observation 60. However, if we consider the critical level for the increments of the CUSUM

46

Manuel Cabral Morais and Ant

onio Pacheco

Table 1: Observed values of the binomial CUSUM statistic with: n = 100; p = p0 = 0.05,
for N = 1, . . . , 50; and p = p0 + = 0.056, for N = 51, . . . , 70.
N

zN

zN

zN

zN

zN

1
0
2
4.71
3
4.42
4 10.13
5
6.84
6
7.55
7
4.26
8
6.97
9
9.68
10 8.39

11
12
13
14
15
16
17
18
19
20

8.1
7.81
7.52
5.23
3.94
2.65
5.36
4.07
5.78
1.49

21
22
23
24
25
26
27
28
29
30

0.20
0.91
2.62
2.33
3.04
4.75
7.46
5.17
5.88
4.59

31
32
33
34
35
36
37
38
39
40

5.30
5.01
4.72
6.43
10.14
9.85
12.56
13.27
13.98
13.69

41
42
43
44
45
46
47
48
49
50

12.40
9.11
11.82
10.53
10.24
12.95
13.66
14.37
10.08
7.79

zN

zN

51
7.50
52
7.21
53
8.92
54 12.63
55 11.34
56 12.05
57 15.76
58 17.47
59 18.18
60 18.89*

61
62
63
64
65
66
67
68
69
70

19.60
23.31
23.02
20.73
21.44
24.15
22.86
23.57
22.28
22.99

* rst out-of-control signal

Table 2: Observed defective counts yN with: n = 100; p = p0 = 0.05, for N = 1, . . . , 50;

and p = p0 + = 0.056, for N = 51, . . . , 70.
N

yN

1
4
2 10
3
5
4 11
5
2
6
6
7
2
8
8
9
8
10 4

N yN

N yN

11
12
13
14
15
16
17
18
19
20

21
22
23
24
25
26
27
28
29
30

31 6
32 5
33 5
34 7
35 9
36 5
37 8
38 6
39 6
40 5

5
5
5
3
4
4
8
4
7
1

4
6
7
5
6
7
8
3
6
4

yN

N yN

N yN

N yN

41
42
43
44
45
46
47
48
49
50

51 5
52 5
53 7
54 9*
55 4
56 6
57 9
58 7
59 6
60 6

61
62
63
64
65
66
67
68
69
70

4
2
8
4
5
8
6
6
1
3

6
9
5
3
6
8
4
6
4
6

rst false alarm; second false alarm; third false alarm

* rst out-of-control signal

statistic equal to y = 3.5 and the resulting combined upper one-sided binomial CUSUM
Shewhart scheme had been active at the time this data was being collected, the operators
or engineers would have been immediately alerted to an out-of-control situation by the
54th observation since the corresponding observed defectives y54 = 9 count exceeds the
upper control limit of the Shewhart scheme U CLS = y + k = 8.79. Then, they could
have been able to assign a cause and improve the control system or remove the source of
disturbance earlier.
It is worth mentioning that the upper one-sided Shewhart component of the combined
scheme was also responsible for 3 false alarms (prior to the occurrence of the shift).

Both CUSUM and Shewhart summary statistics can be plotted simultaneously on a single
chart and both statistics are interpreted against upper control limits x and y + k (respectively) in a similar manner, thus, minimizing the eort in introducing and maintaining
two separate charts, as suggested by Westgard et al. (1977).

Combined CUSUMShewhart Schemes for Binomial Data

47

Distribution and Ageing Character of the Run Length

Let the run lengths (RL) of the upper one-sided CUSUM and upper one-sided combined
CUSUMShewhart schemes be denoted by RLu (x) and RLu (x, y), respectively. These
random variables correspond to the number of samples taken before the schemes produce
an out-of-control signal, and give an indication of the (in)ability to detect shifts in p
when each of these control schemes is used. Moreover, let {ZN , N IN0 } denote the
discrete time Markov chain formed by the evolution of the summary statistic of the upper
one-sided CUSUM scheme.
Note that both Abel [1] and Yashchin [15] select integer values for the reference value of
the combined CUSUMShewhart scheme for Poisson data. However, following Lucas [9]
and Gan [4] CUSUM schemes for count data with rational reference value k make sense,
since the Markov approach still gives an exact solution for the RL distribution. Thus,
if the reference value, the decision interval, the initial value and the critical increment
are rational numbers in the reduced form k = a/b, x = c/b, u = d/b, and y = e/b
respectively, the summary statistics {ZN , N IN0 } have, after rescaling, the discrete
state space {0, 1/b, 2/b, . . . , c/b, c/b + 1, . . .}.
Admitting rational values as stated above yields:
RLu (x) = min{N : ZN > x} | Z0 = u
RLu (x, y) = min{N : ZN > x or ZN ZN 1 > y} | Z0 = u
= min{N : ZN > x or YN > y + k} | Z0 = u.

(4)
(5)

The associated absorbing discrete time Markov chains have discrete state space
{0, 1/b, 2/b, . . . , (c 1)/b, c/b, c/b + 1}
with absorbing state c/b + 1.
Let the index j stand for the state j/b, j = 0, 1, . . . , c + 1. Then the transitions between
their transient states are governed by two sub-stochastic matrices:
Q = [pij ]ci,j=0

and

Q = [pij ]ci,j=0

(6)

The entries of Q can be expressed in the following way:

pij =

j


pil

l=0

where
1

l=0

and

pil = 0

j1


pil , i, j = 0, 1, . . . , c,

(7)

l=0

for i = 0, 1, . . . , c

(8)

48

Manuel Cabral Morais and Ant

onio Pacheco

j


pil = P [ZN +1 j/b | ZN = i/b]

l=0

= FY [(j i)/b + k] for i, j = 0, 1, . . . , xb

(9)

Moreover, the non-zero entries of Q are

pij =

j

l=0

pil

j1


pil

for i = 0, 1, . . . , c and j = 0, 1, . . . , min{i + e, c}

(10)

l=0

since any transition corresponding to an increment ZN +1 ZN larger than y = e/b is not

allowed.
Note that RLu (x, y; ) is a rst passage time to the absorbing state c/b + 1, with a phasetype distribution characterized by the initial state d = ub and the sub-stochastic matrix
Q.
Let ARL = E[RL], F MRL (s) = E[RL(RL 1) . . . (RL s + 1)], F RL (m) = P (RL > m)
and RL (m) = P (RL = m)/P (RL m) denote the average (run length), the factorial
moment of order s, the survival function and the alarm rate function of an arbitrary run
length RL. Then, from Brook and Evans [3], it follows that:

1
1
(11)
ARLu (x, y) = e

d IQ
 s1 
s
IQ
1, s IN
(12)
F MRLu (x,y) (s) = s! e

d Q


m
F RLu (x,y) (m) = e

1, m IN
(13)
d Q


m
1
e
Q
RLu (x,y) (m) = 1 d m1 , m IN,
(14)
e

Q
1
d
where ed denotes the (d + 1)th unit-vector of dimension c + 1 and 1 is a column vector of
(c + 1) ones.
It is important to note that F RLu (x,y) (m) is the probability of triggering a signal after
collecting at least m samples; and RLu (x,y) (m) represents the conditional probability of a
signal at sample m, given that the previous m1 samples did not lead to an alarm. Thus,
the alarm rate provides a conditional snapshot and a rather more insightful portrait of
the scheme ability to signal than the ones based on the ARL or the survival function of
RL.
So far we have not discussed the possible values for the reference value k and the critical
increment y. These issues are somehow related to Gan [4] and to the relationship between the RLs of the upper one-sided Shewhart and CUSUM schemes, and the combined
CUSUMShewhart scheme.
To design a control scheme, we have to make a trade-o between a large in-control RL and
a quick detection of a specic change in the process parameter. Gan [4] suggests selecting
the reference value of the upper one-sided CUSUM scheme for binomial data close to

49

Combined CUSUMShewhart Schemes for Binomial Data

ln[(1 p0 )/(1 p1 )]
ln[(1 p0 )p1 /(1 p1 )p0 ]

(15)

Recall that np0 is the nominal expected number of defectives per random sample of size
n, and np1 denotes the corresponding out-of-control value that we want to quickly detect.
Gan [4] alleged that extensive numerical results suggest that the value (15) leads to upper
one-sided CUSUM schemes for binomial data, which are optimal in the ARL sense in
detecting an upward shift of magnitude p1 p0 in the parameter p.
The upper one-sided Shewhart and CUSUM schemes are obviously special cases of the
upper one-sided combined CUSUMShewhart scheme. In fact, if RLS (y + k) and RLu (x)
represent the run lengths of the upper one-sided Shewhart and CUSUM schemes, we have:
RLS (y + k) =st lim RL0 (x, y) =st RL0 (+, y)

(16)

RLu (x) =st RL (x, y), y x.

(17)

x+
u

Thus, we conclude that y should be always smaller than x, otherwise the performance of
the resulting scheme is the same as that of the upper one-sided CUSUM scheme.
Example 2:
In Example 1 the reference value is k = 5.29 and the upper control limit is x = 18.3
yielding the large number 1 + xb = 1831 of transient states. In this example consider
a combined upper one-sided CUSUMShewhart scheme with parameters n = 100; p0 =
0.02. The reference value and the upper control limit of the CUSUM component are set
equal to k = 3 (which corresponds to p1 = 0.0427685 according to (15)) and x = 6. The
critical value for the increment is set to y = 4, i.e., the upper control limit of the Shewhart
component equals y + k = 7.
Then, in-control run length RL0 (6, 4) = RL0 (6, 4; 0) is associated
matrix

0.8590 0.0902 0.0353 0.0114 0.0031 0

0.6767 0.1823 0.0902 0.0353 0.0114 0.0031

0.4033 0.2734 0.1823 0.0902 0.0353 0.0114

Q = Q(0) =
0.1326 0.2707 0.2734 0.1823 0.0902 0.0353
0
0.1326 0.2707 0.2734 0.1823 0.0902

0
0
0.1326 0.2707 0.2734 0.1823
0
0
0
0.1326 0.2707 0.2734

to the sub-stochastic
0
0
0.0031
0.0114
0.0353
0.0902
0.1823

(18)

The set of parameters yields an in-control average run length of ARL0 (6, 4; 0) = 603.743,
which means a 40.6% reduction in the in-control ARL of the CUSUM component of the
combined scheme, ARL0 (6; 0) = 1015.71, and a 43.7% reduction in the in-control ARL of
its Shewhart component, ARLS (4 + 3; 0) = 1073.03.
When the percent of defective items per sample doubles its target value (i.e., = 0.02),
or there is an increase in the target value from p0 to p1 , we get the following out-of-control
average run lengths:

50

Manuel Cabral Morais and Ant

onio Pacheco

ARL0 (6, 4; 0.02)

ARL0 (6; 0.02)
ARLS (4 + 3; 0.02)
6.88
7.19
21.05
0
0
ARL (6, 4; p1 p0 ) ARL (6; p1 p0 ) ARLS (4 + 3; p1 p0 )
3.99
5.93
15.37
These results indicate that an upward shift in p will be detected more quickly by the
combined scheme at the cost of a higher false alarm rate.

As for the ageing character, we can add that the RL of the combined upper one-sided
binomial CUSUMShewhart without head start has an increasing hazard rate function,
as shown by Morais and Pacheco [11].
Thus, the ability of the combined control scheme to signal increases as sampling proceeds,
while the corresponding CUSUM scheme with head start (Lucas and Crosier [10]) has a
non-monotonous alarm rate function of the RL and the Shewhart scheme has a constant
alarm rate function because of its geometric RL, as illustrated in the next section.

Comparison of the CUSUM, Shewhart and combined CUSUM

Shewhart schemes

Above the performance of a CUSUM scheme without head start (C 0 ), a Shewhart scheme
(S), and a combined CUSUMShewhart scheme with no head start (CS 0 ) for binomial
counts have been compared by means of examples.
Another question of interest is, whether an upper one-sided CUSUM scheme with head
start (Lucas and Crosier [10]) could perform as good as the combined CUSUMShewhart
scheme. For answering the question an upper one-sided CUSUM scheme with a 50% head
start (C 3 ) is included into the investigation.
The performance of the resulting four schemes are illustrated in Table 3 assuming small
and moderate shifts with magnitude
= 0.001, 0.0025, 0.005, 0.0075, 0.01, 0.02, p1 p0 , 0.03
The table displays values of RL percentage points, ARLs and standard deviations of run
lengths (SDRLs), where the target shift, which should be detected as quickly as possible,
is set to the value p1 p0 = 0.0227685.
Using the combined scheme CS 0 virtually yields a 40% reduction in the ARL of schemes
S and C 0 , when the production process is in-control; thus, false alarms are more frequent.
For instance, a false alarm by combined scheme CS 0 occurs within the rst 419 samples
with probability of at least 50%, while the median of the run length of scheme C 0 is 705.
However, the adoption of the combined scheme CS 0 yields a benet of at least 10% in
ARL, SDRL and the RL percentage points for small shifts up to an 25% increase in p

51

Combined CUSUMShewhart Schemes for Binomial Data

(i.e. for 0 < 0.005) compared with the corresponding single charts. For moderate
and large shifts (i.e. for > 0.005) the performance of the one-sided CUSUM scheme is
very similar to that of the combined CUSUMShewhart scheme.

Table 3: RL percentage points, ARL and SDRL values listed in order of the schemes C 0 ,
S, CS 0 and C 3 .
RL perc.
points

0.02 p1 p0

0.001

0.0025

0.005

0.0075

0.01

5%

55
56
33
35

34
41
22
17

18
27
14
6

9
14
8
3

6
8
5
2

4
5
4
2

2
2
2
1

2
1
1
1

2
1
1
1

25%

295
309
175
274

173
227
115
156

85
148
64
71

32
78
28
23

16
45
15
10

10
27
10
6

4
6
4
2

4
5
3
2

3
3
2
2

Median

705
744
419
684

411
546
274
394

198
355
150
185

72
187
62
63

33
107
31
26

19
65
18
14

6
15
6
4

5
11
5
3

4
6
4
2

75%

1407
1487
836
1386

819
1092
546
802

392
710
297
379

140
374
120
130

63
214
57
55

34
130
32
28

9
29
9
6

7
21
7
5

5
11
5
3

90%

2334
2470
1388
2313

1358
1813
905
1340

649
1179
491
636

230
621
198
220

101
355
93
94

53
216
51
48

13
48
13
10

10
35
10
8

7
17
7
5

95%

3036
3214
1805
3015

1765
2359
1176
1748

843
1534
638
830

297
808
256
288

130
461
119
123

68
281
65
63

26
62
15
13

12
45
12
10

8
22
8
6

ARL

1015.710
1073.030
603.743
995.070

591.724
787.737
394.192
574.634

284.121
512.346
214.972
270.937

102.081
270.112
87.704
93.044

46.227
154.275
42.275
39.670

25.458
94.128
23.973
20.475

7.194
21.047
6.882
4.920

5.932
15.369
5.648
3.991

4.095
7.815
3.824
2.710

SDRL

1012.179
1072.530
601.712
1011.980

588.012
787.237
391.853
587.776

280.175
511.846
212.199
279.885

97.895
269.611
84.390
97.517

42.022
153.774
38.724
41.574

21.419
93.627
20.452
20.930

4.320
20.541
4.384
3.879

3.322
14.861
3.418
2.918

1.998
7.298
2.134
1.684

0.03

The values in Table 3 indicate that an upper one-sided CUSUM chart with a 50% head
start performs very well for moderate and large shifts. In fact, scheme C 3 has larger incontrol ARL and smaller ARL and SDRL for moderate and large shifts when compared
with the scheme CS 0 . Furthermore, note that, although the in-control ARL0 (6, 4; ) is
smaller than ARL3 (6; ) for small shifts, the 5% percentage points of RL3 (6; ) may be
remarkably smaller than those of RL0 (6, 4; ), meaning that a correct signal can occur
earlier when we use scheme C 3 .

52

Manuel Cabral Morais and Ant

onio Pacheco

SDRL reduction
100
75
50
25

ARL reduction
100
80
60
40
20
-20
-40

0.05

0.1

0.15

0.2

-25
-50
-75
-100

0.05

0.1

0.15

0.2

Figure 1: ARL and SDRL percentage reductions due to the adoption of the combined
scheme CS 0 , in the interval [0, 0.2] (CS 0 vs. S, CS 0 vs. C 0 and CS 0 vs. C 3 , from top to
bottom).
Figure 1 shows the overall behaviour of the ARL and SDRL reductions, in the interval
[0, 0.2], where the ARL reductions are dened as:
CS 0 vs. C 0 :
CS 0 vs. S :
CS 0 vs. C 3 :

1 ARL0 (6, 4; )
100%
ARL0 (6; )
1 ARL0 (6, 4; )
100%
ARLS (4 + 3; )
1 ARL0 (6, 4; )
100%
ARL3 (6; )

(19)
(20)
(21)

The reductions in case of SDRL are dened analogously.

The reduction curves conrm the expections about the combined scheme CS 0 . Its average
detection speed outperforms substantially the one of its Shewhart component in the case
of small and moderate shifts and the one of the CUSUM component in the detection
of large shifts. Figure 1 indicates that the SDRL may increase, if the scheme C 0 is
replaced by the combined scheme in the detection of moderate shifts. On the other hand
SDRL never increases when compared with scheme S. Finally, scheme CS 0 seems to
outperform scheme C 3 for very small shifts, in the interval (0, 0.005] in the average time
till detection and standard deviation, which is also suggested by Table 3. Thus, upper
one-sided CUSUM scheme with the well known 50% head start does not in all cases
perform better than the combined upper one-sided CUSUMShewhart scheme. This is
an important observation, since we have assumed a very small nominal value p0 and,
therefore, small changes of p are more likely to occur than moderate or large ones.
Next, the results of some additional investigations on the impact of the choice of y on
the ARL and SDRL of the combined scheme (when compared to schemes C 0 and C 3 ) are
discussed.
Figure 2 and Figure 3 show reductions in ARL and SDRL by comparing a CS 0 scheme to
a C 0 scheme (Figure 2) for various values of the critical increment y, and the reductions

Combined CUSUMShewhart Schemes for Binomial Data

53

Figure 2: ARL and SDRL percentage reductions due to the adoption of the combined
scheme CS 0 , for y = 0, . . . , 5 (from top to bottom).

Figure 3: ARL and SDRL percentage reductions relative to the upper one-sided CUSUM
scheme with a 50% headstart C 3 , for y = 0, . . . , 5 (from top to bottom).
obtained by using the scheme C 3 instead of scheme CS 0 (Figure 3) for the same values
of y.
The average performance of scheme CS 0 appears to be superior when compared with
scheme C 0 . The decrease in ARL is especially substantial for y = 4 (see Figure 2), for
which also the SDRL decreases. Therefore, we conclude that y = 4 is a good choice for
the critical increment for scheme CS 0 .
As far as the comparison of schemes C 3 and CS 0 is concerned, only values y = 0, 1, 2
yield an overall decrease in ARL (and in SDRL for most of the values of in the interval
[0, 0.2]). The increase in the in-control ARL for y = 3 as shown in Figure 3 is rather
surprising. Moreover, for y = 3, 4, 5, there is an increase in the out-of-control ARL for
some values of , as the left graph of Figure 3 shows.
As suggested by Lucas [8] it may be advantageous when using a combined scheme to
increase the value of the CUSUM upper control limit x slightly to get a larger in-control
ARL. However, our numerical investigations with x = 7 and y = 3, 4 lead to worse results
than those achieved previously with x = 6 and y = 4. With x = 7 and y = 4 the obtained
improvements were far less signicant, and with x = 7, when y = 3 there was a dramatic
75% reduction in the in-control ARL.
Next, the comparison of the four schemes under investigation is extended to another

54

Manuel Cabral Morais and Ant

onio Pacheco

RL related measure, namely the alarm rate function, which gives an idea of how likely
(unlikely) a correct signal (false alarm) at sample m is, given that no previous signal has
been triggered.
Table 4 contains values of the alarm rate function of the in-control RL and various outof-control RLs for the four schemes under study. Table 4 and Figure 4 indicate that
the alarm rate function increases with the initial value of the summary statistic of the
scheme C 0 . In fact, the use of a 50% head start yields a mild reduction in the in-control
ARL and a slightly larger relative reduction in the out-control ARLs, because the right
tail behaviour of the in-control RL distribution is practically independent of the head
start (see Lucas and Crosier [10]). However, the alarm rate of the RL of the upper onesided CUSUM scheme C 3 may increase for the rst samples considerably, specially in
out-of-control situations.

Figure 4: Alarm rate function of the in-control RL (on the left; C 3 , CS 0 , S and C 0 , from
top to bottom) and the out-of-control RL(p1 p0 ) (on the right; C 3 , C 0 , CS 0 and S, from
top to bottom).

Adding a Shewhart limit to the upper one-sided CUSUM scheme C 0 increases the false
alarm rate and seems to have no impact when there is a shift of magnitude p1 p0 .
Moreover, scheme C 3 outperforms the combined scheme CS 0 , as far as the alarm rate is
concerned at the rst samples and has a similar behaviour as we collect more samples.
Table 4 and Figure 4 also illustrate the increase of the alarm rate function of the in-control
and out-of-control RLs of schemes C 0 and CS 0 . Thus, signalling of these two schemes
becomes more likely in the course of the sampling procedure.

Concluding Remarks

Supplementing an upper one-sided CUSUM scheme with a Shewhart upper control limit
can lead to an improvement of RL related measures for small changes in the process
parameter. However, this goes along with a reduction of the in-control ARL. Therefore,
whether or not a combined upper one-sided CUSUMShewhart scheme should be used,

55

Combined CUSUMShewhart Schemes for Binomial Data

Table 4: Alarm rate function values listed in order corresponding to schemes C 0 , S, CS 0

and C 3 .

0.001

0.0025

0.005

0.0075

0.01

0.02

p1 p0

0.03

0.000034
0.000932
0.000932
0.004062

0.000052
0.001270
0.001270
0.005275

0.000091
0.001952
0.001952
0.007581

0.000213
0.003702
0.003702
0.012978

0.000449
0.006482
0.006482
0.020718

0.000874
0.010624
0.010624
0.031228

0.006844
0.047512
0.047512
0.106392

0.010659
0.065065
0.065065
0.136973

0.028188
0.127960
0.127960
0.233986

0.000234
0.000932
0.001013
0.005879

0.000367
0.001270
0.001397
0.008059

0.000686
0.001952
0.002189
0.012412

0.001722
0.003702
0.004290
0.023205

0.003809
0.006482
0.007760
0.039360

0.007587
0.010624
0.013119
0.061680

0.055859
0.047512
0.064162
0.213480

0.082833
0.065065
0.089031
0.269375

0.185065
0.127960
0.177330
0.426174

0.000481
0.000932
0.001206
0.004654

0.000775
0.001270
0.001715
0.006709

0.001494
0.001952
0.002821
0.011013

0.003883
0.003702
0.005990
0.022321

0.008724
0.006482
0.011656
0.040034

0.017357
0.010624
0.020944
0.065118

0.113719
0.047512
0.114073
0.235822

0.160422
0.065065
0.157957
0.296899

0.312032
0.127960
0.300942
0.462384

0.000671
0.000932
0.001371
0.003349

0.001102
0.001270
0.002000
0.005065

0.002171
0.001952
0.003414
0.008839

0.005777
0.003702
0.007661
0.019356

0.013072
0.006482
0.015538
0.036642

0.025861
0.010624
0.028649
0.061851

0.154287
0.047512
0.153903
0.237546

0.210665
0.065065
0.208567
0.300309

0.378765
0.127960
0.372799
0.468850

0.000797
0.000932
0.001484
0.002432

0.001325
0.001270
0.002202
0.003842

0.002654
0.001952
0.003852
0.007087

0.007181
0.003702
0.008949
0.016652

0.016328
0.006482
0.018562
0.033107

0.032142
0.010624
0.034572
0.057801

0.179720
0.047512
0.179709
0.234804

0.240556
0.065065
0.239501
0.298371

0.413897
0.127960
0.410849
0.468703

10

0.000974
0.000932
0.001648
0.001092

0.001667
0.001270
0.002518
0.001888

0.003465
0.001952
0.004608
0.003951

0.009768
0.003702
0.011393
0.011072

0.022506
0.006482
0.024496
0.025059

0.043902
0.010624
0.046065
0.047876

0.218448
0.047512
0.220019
0.225339

0.283499
0.065065
0.284820
0.290249

0.458525
0.127960
0.459323
0.464028

20

0.000987
0.000932
0.001661
0.000988

0.001699
0.001270
0.002549
0.001701

0.003562
0.001952
0.004701
0.003567

0.0101596
0.003702
0.011779
0.010182

0.023540
0.006482
0.025541
0.023595

0.045886
0.010624
0.048117
0.045976

0.223523
0.047512
0.225611
0.223641

0.288722
0.065065
0.290638
0.288827

0.463159
0.127960
0.464592
0.463229

30

0.000987
0.000932
0.001661
0.000987

0.001699
0.001270
0.002549
0.001699

0.003563
0.001952
0.004702
0.003563

0.010166
0.003702
0.011787
0.010167

0.023562
0.006482
0.025565
0.023563

0.045931
0.010624
0.048167
0.045933

0.223609
0.047512
0.225717
0.223611

0.288803
0.065065
0.290740
0.288805

0.463218
0.127960
0.464667
0.463219

100

0.000987
0.000932
0.001661
0.000987

0.001699
0.001270
0.002549
0.001699

0.003563
0.001952
0.004702
0.003563

0.010167
0.003702
0.011787
0.010167

0.023562
0.006482
0.025566
0.023562

0.045932
0.010624
0.048169
0.045932

0.223611
0.047512
0.225719
0.223611

0.288804
0.065065
0.290741
0.288804

0.463218
0.127960
0.464668
0.463218

depends on whether detecting small shifts is more important than an increase of false
alarms.
Furthermore, the combined upper one-sided CUSUMShewhart scheme seems to be outperformed by the upper one-sided CUSUM scheme with a 50% head start, not only in
terms of the ARL and SDRL, but also in terms of the alarm rate function, particularly
at the beginning of the sampling procedure. This surprising result leads to a clear recommendation that the practitioner should not use combined scheme, but rather add a head
start to the upper one-sided CUSUM scheme.
Acknowledgements: This research was supported in part by Programa Operacional
Ciencia, Tecnologia, Inovac
ao (POCTI) of the Fundac
ao para a Ciencia e a Tecnologia (FCT), conanced by the European Community fund FEDER, and the projects
POSI/EIA/ 60061/2004, and POCTI/MAT/55796/2004.

56

Manuel Cabral Morais and Ant

onio Pacheco

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Manuel Cabral Morais and Antonio Pacheco

Department of Mathematics
Center for Mathematics and Applications (CEMAT)
Instituto Superior Tecnico
Av. Rovisco Pais
1049-001 Lisboa, Portugal