Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

Serial correlation can seriously affect the performance of traditional control charts. Many authors have studied the effect of autocorrelation on EWMA control charts and have shown how to modify the control limits to account for autocorrelation. In this paper we compare three different estimation me...

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Veröffentlicht in:Statistics & probability letters 2008-09, Vol.78 (12), p.1673-1682
Hauptverfasser: Vermaat, M.B., van der Meulen, F.H., Does, R.J.M.M.
Format: Artikel
Sprache:eng
Schlagworte:
Applications
Exact sciences and technology
General topics
Mathematics
Multivariate analysis
Probability and statistics
Probability theory and stochastic processes
Reliability, life testing, quality control
Sciences and techniques of general use
Statistics
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Zusammenfassung:Serial correlation can seriously affect the performance of traditional control charts. Many authors have studied the effect of autocorrelation on EWMA control charts and have shown how to modify the control limits to account for autocorrelation. In this paper we compare three different estimation methods for the variance of the EWMA statistic that is adapted to autocorrelated data. This comparison is based on the asymptotic relative efficiency of the estimators.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2008.01.041