On control charts for monitoring the variance of a time series
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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 language | English |
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Pages (from-to) | 1512 - 1526 |
Number of pages | 14 |
Journal | Journal of Statistical Planning and Inference : JSPI |
Volume | 143 |
Issue number | 9 |
Publication status | Published - 1 Sept 2013 |
Peer-reviewed | Yes |
Externally published | Yes |
External IDs
Scopus | 84879552984 |
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