Monitoring the mean and the variance of a stationary process

S. Knoth and W. Schmid

Statistica Neerlandica, 2002, vol. 56, issue 1, 77-100

Abstract: We deal with the problem of how deviations in the mean or the variance of a time series can be detected. Several simultaneous control charts are introduced which are based on EWMA (exponentially weighted moving average) statistics for the mean and the empirical variance. The combined X − S2 EWMA chart is extended to time series. Further simultaneous charts are considered. The comparision of these schemes shows that the residual attempt must be favored if a variance change is present.

Date: 2002
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