IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v89y2015icp115-125.html
   My bibliography  Save this article

Behavior of EWMA type control charts for small smoothing parameters

Author

Listed:
  • Lazariv, Taras
  • Okhrin, Yarema
  • Schmid, Wolfgang

Abstract

A general family of EWMA charts is considered for monitoring an arbitrary parameter of the target process. The distribution of the run length is analysed for the case when the smoothing parameter tends to zero. The key impact on the results from the use of the exact variance of the control statistics vs. the asymptotic one and the presence of a head start. For fixed head start, the run lengths for both the exact and asymptotic monitoring procedures degenerate to a binary quantity. To guarantee a feasible monitoring procedure, the head start has to be chosen proportional to the smoothing parameter and the control statistics have to be modified when used with the asymptotic variance. This result underlines the weakness of schemes with a fixed head start and of schemes based on the asymptotic variance if the smoothing parameter is small. The assumptions on the target process are very weak, and are usually satisfied for stationary processes. In addition, the asymptotic equivalence of the EWMA schemes and of repeated significance tests is shown.

Suggested Citation

  • Lazariv, Taras & Okhrin, Yarema & Schmid, Wolfgang, 2015. "Behavior of EWMA type control charts for small smoothing parameters," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 115-125.
    • Handle: RePEc:eee:csdana:v:89:y:2015:i:c:p:115-125
    DOI: 10.1016/j.csda.2015.03.010
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016794731500078X
    Download Restriction: Full text for ScienceDirect subscribers only.
    File URL: https://libkey.io/10.1016/j.csda.2015.03.010?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Seven Knoth, 2005. "Fast initial response features for EWMA control charts," Statistical Papers, Springer, vol. 46(1), pages 47-64, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Robert Garthoff & Philipp Otto, 2017. "Control charts for multivariate spatial autoregressive models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 67-94, January.
    2. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Muhammad Riaz & Ronald Does, 2009. "A process variability control chart," Computational Statistics, Springer, vol. 24(2), pages 345-368, May.
    2. Manuel Morais & Yarema Okhrin & Wolfgang Schmid, 2015. "Quality surveillance with EWMA control charts based on exact control limits," Statistical Papers, Springer, vol. 56(3), pages 863-885, August.
    3. Vasileios Alevizakos & Arpita Chatterjee & Kashinath Chatterjee & Christos Koukouvinos, 2024. "The exponentiated exponentially weighted moving average control chart," Statistical Papers, Springer, vol. 65(6), pages 3853-3891, August.
    4. Kim Phuc Tran & Philippe Castagliola & Giovanni Celano, 2018. "Monitoring the ratio of population means of a bivariate normal distribution using CUSUM type control charts," Statistical Papers, Springer, vol. 59(1), pages 387-413, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:89:y:2015:i:c:p:115-125. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.