Ewma charts for multivariate time series

DOI10.1080/07474949708836378zbMath0883.62113OpenAlexW1974495863MaRDI QIDQ4346000

H. G. Kramer, Wolfgang Schmid

Publication date: 23 March 1998

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949708836378

zbMATH Keywords

tablesMonte Carlo studytime seriesstatistical process controlmultivariate dataEWMA chart

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05)

Related Items (21)

Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model ⋮ Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series ⋮ Control charts for multivariate spatial autoregressive models ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ EWMA Control Charts for Monitoring Optimal Portfolio Weights ⋮ EWMA charts for monitoring the mean and the autocovariances of stationary processes ⋮ Surveillance of the covariance matrix of multivariate nonlinear time series ⋮ Sequential monitoring of high‐dimensional time series ⋮ The effect of autocorrelation on the diagnostic procedures ⋮ A generalized exponentially weighted moving average control chart for monitoring autocorrelated vectors ⋮ CUSUM charts for monitoring the mean of a multivariate Gaussian process ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ Sequential monitoring of minimum variance portfolio ⋮ Monitoring mean changes in persistent multivariate time series ⋮ Multivariate Quality Control Chart for Autocorrelated Processes ⋮ Quality surveillance with EWMA control charts based on exact control limits ⋮ EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes ⋮ Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes ⋮ The influence of parameter estimation on the ARL of Shewhart type charts for time series ⋮ Surveillance of non-stationary processes ⋮ Optimal Surveillance Based on Exponentially Weighted Moving Averages

Cites Work

• Time series: theory and methods.
• A note on the joint distribution of correlated quadratic forms
• On the run length of a Shewhart chart for correlated data
• Multivariate CUSUM Quality-Control Procedures
• Multivariate Generalizations of Cumulative Sum Quality-Control Schemes
• Sequential Estimation of Expectations in the Presence of Trend2
• Control Charts in the Presence of Data Correlation
• A Multivariate Exponentially Weighted Moving Average Control Chart
• Multivariate control charts based on loss functions
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes
• Elements of multivariate time series analysis

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