Parameter estimation in first-order autoregressive model for statistical process monitoring in the presence of data autocorrelation

DOI10.1016/J.JSPI.2011.02.005MaRDI QIDQ538101zbMATH OpenOpenAlexFDO

Authors Thaung Lwin

Publication date 23 May 2011

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

Full work available at URL https://doi.org/10.1016/j.jspi.2011.02.005

zbMATH Keywords

Kalman filterANOVAtime seriesempirical BayesEWMASTvariogram modelling

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

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Cites work

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• scientific article; zbMATH DE number 3202022 (Why is no real title available?)
• A Statistical Control Chart for Stationary Process Data
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Bayesian forecasting and dynamic models
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• Exponential Smoothing and Short-Term Sales Forecasting
• On the inverses of some patterned matrices arising in the theory of stationary time series

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(5)

• Alternative estimation procedure in SPC when the process data are correlated
• Comparison of data analysis procedures for real-time nanoparticle sampling data using classical regression and ARIMA models
• Estimation on a GAR(1) Process by the EM Algorithm
• Effect of autocorrelation estimators on the performance of the X̄ control chart
• The new synthetic and runs-rules schemes to monitor the process mean of autocorrelated observations with measurement errors

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