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Manuel Cabral Morais, Yarema Okhrin, Antonio Pacheco, Wolfgang Schmidt

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

Keywords: statistical process control, run length, control schemes, time series, stochastic ordering

This paper discusses in detail the impact of shifts on the process variance (σ²) on the run length (RL) of modified upper one-sided EWMA charts for the process mean (μ) when the output is correlated.
Quite apart from the relevance of a process variance change in its own right, a dilation in σ² can cause an undesirable stochastic decrease in the detection speed of some specific shifts in μ. This and other stochastic results are proved and illustrated with a few examples.

Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Print ISSN: 0721-2631
Volume: 24, 04/2006
Pages: 397 - 413

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