Monitoring the mean and the variance of a stationary process

Knoth, Sven; Schmid, Wolfgang

doi:10.1111/1467-9574.03000

Monitoring the mean and the variance of a stationary process

Publication date

2002

Document type

Forschungsartikel

Author

Knoth, Sven

Schmid, Wolfgang

Organisational unit

Europa-Universität Viadrina Frankfurt (Oder)

DOI

10.1111/1467-9574.03000

URI

https://openhsu.ub.hsu-hh.de/handle/10.24405/21879

Scopus ID

2-s2.0-0036005234

Publisher

Wiley

Series or journal

Statistica Neerlandica

ISSN

0039-0402

Periodical volume

56

Periodical issue

1

First page

77

Last page

100

Part of the university bibliography

Nein

Language

English

Keyword

EWMA charts

Simultaneous control charts

Statistical process control

Time series

Abstract

We deal with the problem of how deviations in the mean or the variance of a time series can be detected. Several simultaneous control charts are introduced which are based on EWMA (exponentially weighted moving average) statistics for the mean and the empirical variance. The combined X − S² EWMA chart is extended to time series. Further simultaneous charts are considered. The comparision of these schemes shows that the residual attempt must be favored if a variance change is present.

Version

Published version

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