On control charts for monitoring the variance of a time series

DOI10.1016/J.JSPI.2013.04.001zbMATH Open1432.62374arXiv1209.4678OpenAlexW2056366299MaRDI QIDQ394567FDOQ394567

Authors: Taras Lazariv, Svitlana Zabolotska, Wolfgang Schmid 

Publication date: 27 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: 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 Shiryaev-Roberts ap- proach. 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.

Full work available at URL: https://arxiv.org/abs/1209.4678

Recommendations

• Variance charts for time series: a comparison study
• Monitoring the mean and the variance of a stationary process
• Likelihood ratio test-based chart for monitoring the process variability
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• scientific article; zbMATH DE number 1218902

zbMATH Keywords

time seriescontrol chartsstatistical process controlsequential detectionCUSUM chartsgeneralized likelihood ratioShiryaev-Roberts procedureSPRTvariance changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Cites Work

• Time series: theory and methods.
• Sequential analysis. Tests and confidence intervals
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• CONTINUOUS INSPECTION SCHEMES
• On Optimum Methods in Quickest Detection Problems
• Sequential analysis applied to autoregression processes
• CUSUM control schemes for Gaussian processes
• On the run length of a Shewhart chart for correlated data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Financial Surveillance
• An approach to the probability distribution of cusum run length
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Control charting normal variance -- reflections, curiosities, and recommendations

Cited In (9)

• Performance of control charts for autoregressive conditional heteroscedastic processes
• Surveillance of non-stationary processes
• Control Charts for the Mean and Variance based on Changepoint Methodology
• Monitoring the mean and the variance of a stationary process
• A control chart based on likelihood ratio test for detecting patterned mean and variance shifts
• Likelihood ratio test-based chart for monitoring the process variability
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Regenerative likelihood ratio control schemes
• Variance charts for time series: a comparison study

This page was built for publication: On control charts for monitoring the variance of a time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q394567)