Average run length 2026-10-14
The average run length of a CUSUM is the expectation of its first signalling time under a specified data model and initial chart state. A large in-control average run length discourages false alarms; a small out-of-control value indicates rapid detection. The mean alone does not give a finite-horizon Type I error probability or the complete detection-delay distribution.
CUSUM 2026-10-14
A CUSUM accumulates evidence for a change in a monitored probability distribution. With a log-likelihood ratio increment favoring a specified changed distribution, reset the accumulated score at zero and signal when it exceeds a chosen boundary . For , is the largest nonnegative sum of successive increments ending at . This permits repeated detection of a change with an unknown onset, rather than a single fixed-start test.
A fast initial response CUSUM starts a CUSUM with a positive head start below its signalling boundary. Before its first reset, it accumulates a fixed-start log-likelihood ratio like a sequential probability ratio test; after resetting to zero it behaves as an ordinary CUSUM. It gives faster initial detection when the process may already be out of control, at the cost of changed initial false-alarm behavior.
For a specified change, use the log-likelihood-ratio score. A log-likelihood ratio accumulates comparable evidence for the alternative hypothesis against the null hypothesis, includes the changing expected number of deaths, and yields the standard CUSUM designed to detect that alternative. Under the null its expected increment is negative; under the target increase it is positive.
By contrast, raw has zero null drift and does not specify which increase is being sought. Its noise scale changes with expected exposure, since a Poisson count with mean has variance . A reset-at-zero chart with this zero-drift score can wander upwards through chance variation, and its threshold has no direct likelihood-evidence interpretation. An chart can be redesigned with an allowance and appropriately calibrated limits, but unadjusted is not the same as the Poisson likelihood-ratio CUSUM.
For a CUSUM threshold , define the first signalling time
The average run length is under a specified distribution of the observations and specified initial state, here . The in-control value is computed under the null hypothesis; a large value means false signals occur infrequently. The out-of-control value is computed under a specified alternative hypothesis; a small value means rapid detection when that alternative holds from monitoring's start. If a change occurs later, its detection delay depends also on the chart state at change time, so the zero-state alternative average run length is not every possible delay.
A fixed-horizon statistical hypothesis test is characterized by Type I error probability under its null and Type II error probability under a specified alternative. Continuous monitoring repeatedly offers opportunities to signal: over an indefinitely long run its probability of eventually signalling can be one even under the null. The average run length quantifies waiting time rather than that eventual probability. It replaces the single-test emphasis on a false-rejection probability with a false-signal timescale, and compares detection speed rather than only a fixed-horizon miss probability. However, a mean run length alone does not determine either finite-horizon error probability; those require the run-length distribution.
Iterating the CUSUM recursion shows that
Thus it searches all possible starting times for a recent stretch of evidence favoring an increase. If adding an increment makes the current sum negative, that accumulated evidence favors the null; retaining it would force a later real deterioration first to repay a deficit accumulated during healthy years. Starting a new candidate segment gives zero instead. Resetting at zero makes detection responsive to a change with unknown onset. Negative values would be permissible for a fixed-start signed log-likelihood ratio, but that is a different statistic from this one-sided tabular CUSUM.
The source plot's sharp rise in the final year crosses the chosen control boundary. Trigger a prompt independent investigation of the mortality signal. First verify records, deaths, follow-up and expected-count calculations, then review case mix, changes in referral or recording, and plausible clinical explanations. The response should include appropriate clinical governance and safeguards while the cause is assessed; a statistical signal is not, by itself, proof of misconduct or a particular cause.
The stated null average run length of years makes a signal unusual under the calibrated null, while the alternative value of years indicates sensitivity to a sustained doubling under the specified model. Neither number gives the posterior probability that a doubling has occurred, and is not automatically the false-alarm probability for this particular ten-year history. Likewise the threshold is not a standalone fixed-test significance level.
The earlier value says only that, at that point, no recent accumulated positive log-likelihood ratio survived the resets. It is not evidence that the earlier death rate was certainly normal, and does not cancel the later signal. The zero reset is deliberately part of the change-detection design; the 1994–1996 increments can independently justify an alarm. The full earlier clinical history remains relevant to investigation, even though a negative earlier accumulated score is not carried into the new CUSUM segment.
Let be the alternative death probability. The odds ratio specifies
Assume and . For observed batch count , the common combinatorial factor in the two binomial likelihoods cancels, giving the CUSUM increment
Therefore
For large death counts add positive evidence of deterioration; for unusually small death counts add evidence for improvement. The score has nonpositive expectation under the null and nonnegative expectation under the specified alternative, as follows from the nonnegativity of Kullback-Leibler divergence. Independent, nonoverlapping batches avoid counting the same patient's outcome repeatedly.
A classical sequential probability ratio test addresses a fixed-start choice between two simple statistical hypotheses. It sums log-likelihood ratio increments until an upper boundary accepts the alternative or a lower boundary accepts the null; it then terminates that test. A CUSUM instead monitors indefinitely for a change at an unknown time. Its reset at zero discards sustained evidence from a previously satisfactory period, so a late change need not first undo all earlier negative scores. An upper boundary signals when the accumulated change evidence is sufficiently large.
A fast initial response CUSUM takes , often , in place of a zero start. Until its first reset or signal, it acts like a fixed-start sequential probability ratio test with a lower boundary at and an upper boundary at for the subsequent cumulative increments. Upon reaching the lower boundary it resets and continues as an ordinary CUSUM. The head start gives faster detection if a change is already present when monitoring begins or restarts. It is useful after an intervention, a shutdown or a previous alarm when immediate renewed surveillance is desired. Its initial false-alarm behavior differs from the zero-start scheme, so the head start and signalling boundary must be calibrated together; the preceding numerical choice is a design convention, not a universal optimum.
Use the binomial distribution for independent outcomes in each nonoverlapping batch, and let the CUSUM accumulate the log-likelihood ratio favoring a specified change. The two numbered calculations below treat the batch score and the initial-response design separately.
For independent Poisson observations, comparing mean with gives the displayed log-likelihood ratio. Updating a CUSUM with these scores targets the specified multiplicative increase. Its expected score is negative under the null and positive under the alternative when , so resetting at zero discards earlier evidence against an increase.