On control charts for monitoring the variance of a time series

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

  • Taras Lazariv - , Europe University Viadrina (Autor:in)
  • Wolfgang Schmid - , Europe University Viadrina (Autor:in)
  • Svitlana Zabolotska - , Europe University Viadrina (Autor:in)

Abstract

In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method and a generalized sequential probability ratio procedure, the Shiryaev-Roberts procedure and a generalized modified Shiryaev-Roberts approach. Recursive presentations for the calculation of the control statistics are given for autoregressive processes of order 1. In an extensive simulation study these schemes are compared with existing control charts for the variance. In order to asses the performance of the schemes both the average run length and the average delay are used.

Details

OriginalspracheEnglisch
Seiten (von - bis)1512 - 1526
Seitenumfang14
FachzeitschriftJournal of Statistical Planning and Inference : JSPI
Jahrgang143
Ausgabenummer9
PublikationsstatusVeröffentlicht - 1 Sept. 2013
Peer-Review-StatusJa
Extern publiziertJa

Externe IDs

Scopus 84879552984