On control charts for monitoring the variance of a time series

被引：4

作者：

Lazariv, Taras ^{[1
]}

Schmid, Wolfgang ^{[1
]}

Zabolotska, Svitlana ^{[1
]}

机构：

[1] European Univ Viadrina, Dept Stat, D-15207 Frankfurt, Oder, Germany

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2013年 / 143卷 / 09期

关键词：

Control charts; CUSUM charts; Generalized likelihood ratio; SPRT; Shiryaev-Roberts procedure; Variance changes; Time series; Statistical process control; Sequential detection; STATISTICAL PROCESS-CONTROL; SEQUENTIAL-ANALYSIS; CUSUM; OPTIMALITY;

D O I：

10.1016/j.jspi.2013.04.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：1512 / 1526

页数：15

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