Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

M.B. Vermaat, F.H. van der Meulen and R.J.M.M. Does

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1673-1682

Abstract: Serial correlation can seriously affect the performance of traditional control charts. Many authors have studied the effect of autocorrelation on EWMA control charts and have shown how to modify the control limits to account for autocorrelation. In this paper we compare three different estimation methods for the variance of the EWMA statistic that is adapted to autocorrelated data. This comparison is based on the asymptotic relative efficiency of the estimators.

Date: 2008
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