Robust Control Charts for Time Series Data
AbstractThis article presents a control chart for time series data, based on the one-step- ahead forecast errors of the Holt-Winters forecasting method. We use robust techniques to prevent that outliers affect the estimation of the control limits of the chart. Moreover, robustness is important to maintain the reliability of the control chart after the occurrence of alarm observations. The properties of the new control chart are examined in a simulation study and on a real data example.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-107.
Date of creation: 2010
Date of revision:
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Web page: http://center.uvt.nl
Control chart; Holt-Winters; Non-stationary time series; Out- lier detection; Robustness; Statistical process control;
Find related papers by JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-ECM-2010-10-23 (Econometrics)
- NEP-ETS-2010-10-23 (Econometric Time Series)
- NEP-FOR-2010-10-23 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
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