EWMA control charts for detecting changes in the mean of a long-memory process

DOI10.1007/s00184-015-0555-7zbMath1349.62590OpenAlexW1110068183MaRDI QIDQ263901

F. Blanchet-Sadri, M. Dambrine

Publication date: 5 April 2016

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-015-0555-7

zbMATH Keywords

long-memory processstatistical process controlARFIMA processEWMA control chart

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (5)

Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model ⋮ Moving average EWMA chart for the Weibull distribution ⋮ Control charts for measurement error models ⋮ Unnamed Item ⋮ Unnamed Item

Uses Software

• longmemo
• fracdiff

Cites Work

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• Time series: theory and methods
• Sequential analysis applied to autoregression processes
• CUSUM control schemes for Gaussian processes
• On the run length of a Shewhart chart for correlated data
• Long‐Memory Time Series
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Performance of CUSUM Control Schemes for Serially Correlated Observations
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes
• Long-Memory Processes
• Financial Surveillance
• An approach to the probability distribution of cusum run length

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