COMPARISON BETWEEN TWO METHODS OF SURVEILLANCE: EXPONENTIALLY WEIGHTED MOVING AVERAGE VS CUSUM

Abstract

When control charts are used in practice it is necessary to know the characteristics of the charts in order to know which action is appropriate at an alarm. The probability of a false alarm, the probability of successful detection and the predictive value are three measures (besides the usual ARL) used for comparing the performance of two methods often used in surveillance systems. One is the "Exponentially weighted moving average" method, EWMA, (with several variants) and the other one is the CUSUM method (Vmask). Illustrations are presented to explain the observed differences. It is demonstrated that a high probability of alarm in the beginning (although it gives good ARL properties) might cause difficulties since a low predicted value makes action redundant at early alarms.