Some properties of the EWMA control chart in the presence of autocorrelation

DOI10.1214/aos/1069362748zbMath0907.62115OpenAlexW1993679351MaRDI QIDQ1364750

Alexander Schöne, Wolfgang Schmid

Publication date: 28 September 1998

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1069362748

zbMATH Keywords

Gaussian processautocorrelationstatistical process controlEWMA control chartaverage run length

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics in engineering and industry; control charts (62P30) Stationary stochastic processes (60G10) Sequential statistical analysis (62L10)

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EWMA Charts for Detecting a Change-Point in the Drift of a Stochastic Process ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ On detecting jumps in time series: nonparametric setting ⋮ Statistical Surveillance. Optimality and Methods ⋮ Robust online detection in serially correlated directed network ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES ⋮ On the joint distribution of a quadratic and a linear form in normal variables ⋮ The effects of model parameter deviations on the variance of a linearly filtered time series ⋮ Optimal sequential kernel detection for dependent processes ⋮ Optimal Sequential Surveillance for Finance, Public Health, and Other Areas ⋮ Online network monitoring ⋮ On the run length of the EWMA scheme: A monotonicity result for normal variables ⋮ Optimal Surveillance Based on Exponentially Weighted Moving Averages ⋮ Nonparametric monitoring of financial time series by jump-preserving control charts

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