文章基本信息

标题：Stochastic inequalities for the run length of the ewma chart for long-memory processes
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作者：Yarema Okhrina ; Wolfgang Schmid.
期刊名称：RevStat : Statistical Journal
印刷版ISSN：1645-6726
出版年度：2019
卷号：17
期号：1
页码：67-90
出版社：Instituto Nacional de Estatística
摘要：In this paper the properties of the modified EWMA control chart for detecting changesin the mean of an ARFIMA process are discussed. The central question is related tothe false alarm probability and its behavior for different autocorrelation structuresand parameters of the underlying process. It is shown under which conditions thefalse alarm probability of an ARFIMA(p,d,q) process is larger than that of the pureARFIMA(0,d,0) process. Furthermore, it is shown that the false alarm probability forARFIMA(0,d,0) and ARFIMA(1,d,1) is monotonic in d for common parameter valuesof the processes.
关键词：statistical process control; EWMA control chart; long-memory process; ARFIMA;process.