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Monitoring the mean and the variance of a stationary process
Author(s) -
Knoth S.,
Schmid W.
Publication year - 2002
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/1467-9574.03000
Subject(s) - ewma chart , control chart , variance (accounting) , statistics , series (stratigraphy) , residual , moving average , mathematics , chart , econometrics , process (computing) , computer science , algorithm , economics , accounting , operating system , paleontology , biology
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 − S 2 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.
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