Tail behaviour of a general family of control charts

DOI10.1524/STND.21.1.79.20320zbMATH Open1037.62122OpenAlexW29633769MaRDI QIDQ4454297FDOQ4454297

Authors: Wolfgang Schmid, Yarema Okhrin 

Publication date: 8 March 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47552/%5BStatistics%20%20Risk%20Modeling%5D%20Tail%20behaviour%20of%20a%20general%20family%20of%20control%20charts.pdf

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zbMATH Keywords

multivariate normal distributiontail probabilitytime seriesstatistical process controlrun length

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) Stationary stochastic processes (60G10)

Cited In (2)

• Control chart for autocorrelated processes with heavy tailed distributions
• A rule of thumb: run lengths to false alarm of many types of control charts run in parallel on dependent streams are asymptotically independent

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