The influence of parameter estimation on the ARL of Shewhart type charts for time series

被引：0
作者：
Holger Kramer
Wolfgang Schmid
机构：
[1] Europa-Universität Viadrina,Institut für Statistik
来源：
Statistical Papers | 2000年 / 41卷
关键词：
Statistical process control; average run length; control schemes; Shewhart charts; residual charts; modified control charts; time series;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we discuss the behavior of the Shewhart residual chart and the modified Shewhart chart if the parameters of the underlying process are unknown and thus have to be estimated. We focus on the estimation of the variance. For AR models we also consider the estimation of the AR coefficients. The average run length (ARL) of the control chart with estimated parameters is compared with the ARL of the scheme for known parameters and with the ARL for independent variables. Additionally, we give recommendations on the choice of the estimators in the context of Shewhart control schemes.
引用
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页码：173 / 196
页数：23
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