On control charts for monitoring the variance of a time series

DOI10.1016/J.JSPI.2013.04.001MaRDI QIDQ394567zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(9)

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

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