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Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

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  • Vermaat, M.B.
  • van der Meulen, F.H.
  • Does, R.J.M.M.

Abstract

Serial correlation can seriously affect the performance of traditional control charts. Many authors have studied the effect of autocorrelation on EWMA control charts and have shown how to modify the control limits to account for autocorrelation. In this paper we compare three different estimation methods for the variance of the EWMA statistic that is adapted to autocorrelated data. This comparison is based on the asymptotic relative efficiency of the estimators.

Suggested Citation

  • Vermaat, M.B. & van der Meulen, F.H. & Does, R.J.M.M., 2008. "Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1673-1682, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1673-1682
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    References listed on IDEAS

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    1. A B Koehler & N B Marks & R T O'connell, 2001. "EWMA control charts for autoregressive processes," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 52(6), pages 699-707, June.
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    Cited by:

    1. Feng Zhang & Xi Wang & Honggao Cao, 2021. "Turnover-Adjusted Information Ratio," Papers 2105.10306, arXiv.org.
    2. Chi-Shuan Liu & Fang-Chih Tien, 2011. "A single-featured EWMA- X control chart for detecting shifts in process mean and standard deviation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(11), pages 2575-2596, January.

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