On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ

DOI10.1524/STND.2006.24.4.397zbMATH Open1128.62132OpenAlexW2285117336MaRDI QIDQ5437382FDOQ5437382

Authors: Manuel Cabral Morais, Yarema Okhrin, A. Pacheco, Wolfgang Schmid 

Publication date: 18 January 2008

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

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47549/%5BStatistics%20%20Risk%20Modeling%5D%20On%20the%20stochastic%20behaviour%20of%20the%20run%20length%20of%20EWMA.pdf

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zbMATH Keywords

time seriesstochastic orderingstatistical process controlcontrol schemes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Inequalities; stochastic orderings (60E15)

Cited In (2)

• Comparison of joint control schemes for multivariate normal i.i.d. output
• SOME STOCHASTIC PROPERTIES OF UPPER ONE-SIDED AND EWMA CHARTS FOR μ IN THE PRESENCE OF SHIFTS IN σ

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