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

Cabral Morais Manuel, Okhrin Yarema, Pacheco António and Schmidt Wolfgang

Statistics & Risk Modeling, 2006, vol. 24, issue 4, 397-413

Abstract: 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.

Keywords: statistical process control; run length; control schemes; time series; stochastic ordering (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:24:y:2006:i:4/2006:p:17:n:1

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DOI: 10.1524/stnd.2006.24.4.397

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