AVERAGE RUN LENGTH COMPUTATION OF ARMA CHARTS FOR STATIONARY PROCESSES

DOI10.1081/SAC-100105086MaRDI QIDQ4787608zbMATH OpenFDO

Authors

Publication date 8 January 2003

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1214167 (Why is no real title available?)
• A Markov Chain Model for the Multivariate Exponentially Weighted Moving Averages Control Chart
• A Statistical Control Chart for Stationary Process Data
• A numerical study of large sparse matrix exponentials arising in Markov chains.
• An approach to the probability distribution of cusum run length
• Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
• Effects of autocorrelation on control chart performance
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes

Cited in

(12)

• The computation of average run length and average time to signal: an overview
• Adaptive CUSUM procedures with Markovian mean estimation
• The average run lengths of control charts for stable Lévy processes
• Parallel discretization of the Markov chain approximation for the autoregressive moving average chart
• Statistical process control for autocorrelated data on grid
• A new proposal to solve the autocorrelation problem for monitoring processes in the cutlery industry
• Steady-state average run length(s): Methodology, formulas, and numerics
• Markov chain representation of a statistical process monitoring procedures under ARIMA(0,1,1) models
• The effect of Phase I sample size on the run length performance of control charts for autocorrelated data
• A class of Markov chain models for average run length computations for autocorrelated processes
• A Simple Method Using CuScore to Monitor Changes in ARMA Coefficients
• On the run length of a state-space control chart for multivariate autocorrelated data

Describes a project that uses

Uses Software

• Matlab

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