Average run length of cumulative sum control charts for SARMA(1, 1)_L models

zbMATH Open1395.62137MaRDI QIDQ4576408FDOQ4576408

Authors: Suvimol Phanyaem 

Publication date: 12 July 2018

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• Explicit formulas of average run length for \(\mathrm{ARMA}(1, 1)\) process of CUSUM control chart
• An analytical expression to CUSUM chart for seasonal AR(\(p\)) model
• The effectiveness of CUSUM control chart for trend stationary seasonal autocorrelated data
• Average run length of EWMA chart for SARMA\((P,Q)_L\) processes
• Explicit formulas of average run length for ARIMA\((p,d,q)(P,D,Q)_L\) process of CUSUM control chart

zbMATH Keywords

average run lengthexplicit formulaFredholm integral equationcumulative sumcumulative sum (CUSUM) control chartseasonal autoregressive and moving average

Mathematics Subject Classification ID

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

Cited In (13)

• Numerical integral equation method for ARL of CUSUM chart for long-memory process with non-seasonal and seasonal ARFIMA models
• An analytical expression to CUSUM chart for seasonal AR(\(p\)) model
• The effectiveness of CUSUM control chart for trend stationary seasonal autocorrelated data
• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• Explicit formulas of average run length for \(\mathrm{ARMA}(1, 1)\) process of CUSUM control chart
• Average run length of EWMA chart for SARMA\((P,Q)_L\) processes
• Exact solution for average run length of CUSUM charts for MA(1) process
• Explicit formulas of average run length for ARIMA\((p,d,q)(P,D,Q)_L\) process of CUSUM control chart
• Derivation of explicit formulae for performance measures of CUSUM control chart for SMA(Q)\(_s\) model with exponential white noise
• Exact expression of average run length of EWMA chart for \(\mathrm{SARIMA(P,D,Q)}_L\) procedure
• Performance of CUSUM Control Schemes for Serially Correlated Observations
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