Performance of control charts for autoregressive conditional heteroscedastic processes

被引：7
|
作者：
Fang, Y
Zhang, J
机构：
[1] Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA
[2] Indiana Univ Penn, Dept Math, Indiana, PA 15705 USA
来源：
JOURNAL OF APPLIED STATISTICS | 1999年 / 26卷 / 06期
关键词：
D O I：
10.1080/02664769922142
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper examines the robustness of control schemes to data conditional heteroscedasticity. Overall, the results show that the control schemes which do not account for heteroscedasticity fail in providing reliable information on the status of the process. Consequently, incorrect conclusions will be drawn by applying these procedures in the presence of data conditional heteroscedasticity. Control charts with time-varying control limits are shown to be useful in that context.
引用
收藏
页码：701 / 714
页数：14
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