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Estimation of the Change Point in Monitoring the Mean of Autocorrelated Processes

Authors
이재헌Jung Hee HanSang Hyun Jung
Issue Date
2007
Publisher
한국통계학회
Keywords
Process change point; autocorrelated process; exponentially weighted movingaverage chart; residual; maximum likelihood estimator
Citation
Communications for Statistical Applications and Methods, v.14, no.1, pp 155 - 167
Pages
13
Journal Title
Communications for Statistical Applications and Methods
Volume
14
Number
1
Start Page
155
End Page
167
URI
https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/30103
ISSN
2287-7843
Abstract
Knowing the time of the process change could lead to quicker identi-cation of the responsible special cause and less process down time, and itcould help to reduce the probability of incorrectly identifying the specialcause. In this paper, we propose the maximum likelihood estimator (MLE)for the process change point when a control chart is used in monitoring themean of a process in which the observations can be modeled as an AR(1)process plus an additional random error. The performance of the proposedMLE is compared to the performance of the built-in estimator when theyare used in EWMA charts based on the residuals. The results show that theproposed MLE provides good performance in terms of both accuracy andprecision of the estimator.
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경영경제대학 (응용통계학과)
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