文章基本信息

标题：Control charts for multivariate nonlinear time series
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作者：Robert Garthoff ; Iryna Okhrin ; Wolfgang Schmid 等
期刊名称：RevStat : Statistical Journal
印刷版ISSN：1645-6726
出版年度：2015
卷号：13
期号：2
页码：131-144
出版社：Instituto Nacional de Estatística
摘要：In this paper control charts for the simultaneous monitoring of the means and the variances of multivariate nonlinear time series are intro duced. The underlying tar- get process is assumed to be a constant conditional correlation pro cess (cf. [3]). The new schemes make use of lo cal measures of the means and the variances based on current observations, conditional moments, or residuals. Exponential smo othing and cumulative sums are applied to these characteristic quantities. Distances between these quantities and target values are measured by the Mahalanobis distance. The in- troduced schemes are compared via a simulation study. As a measure of performance the average run length is used.
关键词：statistical process control; multivariate CUSUM charts; multivariate EWMA charts; ; conditional correlation model