On control charts for monitoring the variance of a time series
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
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
Originalsprache | Englisch |
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Seiten (von - bis) | 1512 - 1526 |
Seitenumfang | 14 |
Fachzeitschrift | Journal of Statistical Planning and Inference : JSPI |
Jahrgang | 143 |
Ausgabenummer | 9 |
Publikationsstatus | Veröffentlicht - 1 Sept. 2013 |
Peer-Review-Status | Ja |
Extern publiziert | Ja |
Externe IDs
Scopus | 84879552984 |
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