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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
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Manuel Cabral Morais
Published/Copyright:
September 25, 2009
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
:
Received: 2005-February-1
Accepted: 2006-December-5
Published Online: 2009-09-25
Published in Print: 2006-10
© Oldenbourg Wissenschaftsverlag
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Keywords for this article
statistical process control;
run length;
control schemes;
time series;
stochastic ordering
Articles in the same Issue
- 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
- On utility-based derivative pricing with and without intermediate trades
- Pure self-financing trading strategies under transaction costs
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
