Some properties of the EWMA control chart in the presence of autocorrelation

• 成果类型: Article
• 署名作者: Schmid, W; Schöne, A
• 署名单位: European University Viadrina Frankfurt Oder; Ulm University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1997
• 页码: 1277-1283
• 关键词: statistical process-control

摘要

Schmid extended the classical EWMA control chart to autocorrelated processes. Here, we consider the tail probability of the run length in the in-control state. The in-control process is assumed to be a stationary Gaussian process. It is proved that the tails for the autocorrelated process are larger than in the case of independent variables if all autocovariances are greater than or equal to zero. The inequality is strict. Moreover, this result is still valid for stationary processes having elliptically contoured marginal distributions.