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Bayesian change point estimation in Poisson-based control charts

H. Assareh,R. Noorossana,Kerrie L Mengersen

Published 2013 in Journal of Industrial Engineering International

ABSTRACT

Precise identification of the time when a process has changed enables process engineers to search for a potential special cause more effectively. In this paper, we develop change point estimation methods for a Poisson process in a Bayesian framework. We apply Bayesian hierarchical models to formulate the change point where there exists a step change, a linear trend and a known multiple number of changes in the Poisson rate. The Markov chain Monte Carlo is used to obtain posterior distributions of the change point parameters and corresponding probabilistic intervals and inferences. The performance of the Bayesian estimator is investigated through simulations and the result shows that precise estimates can be obtained when they are used in conjunction with the well-known c-, Poisson exponentially weighted moving average (EWMA) and Poisson cumulative sum (CUSUM) control charts for different change type scenarios. We also apply the Deviance Information Criterion as a model selection criterion in the Bayesian context, to find the best change point model for a given dataset where there is no prior knowledge about the change type in the process. In comparison with built-in estimators of EWMA and CUSUM charts and ML based estimators, the Bayesian estimator performs reasonably well and remains a strong alternative. These superiorities are enhanced when probability quantification, flexibility and generalizability of the Bayesian change point detection model are also considered.

PUBLICATION RECORD

  • Publication year

    2013

  • Venue

    Journal of Industrial Engineering International

  • Publication date

    2013-11-20

  • Fields of study

    Mathematics, Engineering

  • Identifiers
    DOI 10.1186/2251-712X-9-32
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

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