findH: Find decision interval for given in-control ARL and reference...

In jimhester/surveillance: Temporal and Spatio-Temporal Modeling and Monitoring of Epidemic Phenomena

Description

Function to find a decision interval h* for given reference value k and desired ARL γ so that the average run length for a Poisson or Binomial CUSUM with in-control parameter θ_0, reference value k and is approximately γ, i.e. \Big| \frac{ARL(h^*) -γ}{γ} \Big| < ε, or larger, i.e. ARL(h^*) > γ .

Usage

findH(ARL0, theta0, s = 1, rel.tol = 0.03, roundK = TRUE,
       distr = c("poisson", "binomial"), digits = 1, FIR = FALSE, ...)
           
hValues(theta0, ARL0, rel.tol=0.02, s = 1, roundK = TRUE, digits = 1,
      distr = c("poisson", "binomial"), FIR = FALSE, ...)

Arguments

ARL0	desired in-control ARL γ
theta0	in-control parameter θ_0
s	change to detect, see details
distr	"poisson" or "binomial"
rel.tol	relative tolerance, i.e. the search for h* is stopped if \Big| \frac{ARL(h^*) -γ}{γ} \Big| < rel.tol
digits	the reference value k and the decision interval h are rounded to digits decimal places
roundK	passed to findK
FIR	if TRUE, the decision interval that leads to the desired ARL for a FIR CUSUM with head start \frac{\code{h}}{2} is returned
...	further arguments for the distribution function, i.e. number of trials n for binomial cdf

Details

The out-of-control parameter used to determine the reference value k is specified as:

θ_1 = λ_0 + s √{λ_0}

for a Poisson variate X \sim Po(λ)

θ_1 = \frac{s π_0}{1+(s-1) π_0}

for a Binomial variate X \sim Bin(n, π)

Value

findH returns a vector and hValues returns a matrix with elements

theta0	in-control parameter
h	decision interval
k	reference value
ARL	ARL for a CUSUM with parameters k and h
rel.tol	corresponds to \Big| \frac{ARL(h) -γ}{γ} \Big|

jimhester/surveillance documentation built on May 19, 2019, 10:33 a.m.