On control charts for monitoring the variance of a time series

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Taras Lazariv - , Europe University Viadrina (Author)
  • Wolfgang Schmid - , Europe University Viadrina (Author)
  • Svitlana Zabolotska - , Europe University Viadrina (Author)

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

Original languageEnglish
Pages (from-to)1512 - 1526
Number of pages14
JournalJournal of Statistical Planning and Inference : JSPI
Volume143
Issue number9
Publication statusPublished - 1 Sept 2013
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 84879552984