Conditional maximum likelihood estimation for control charts in the presence of correlation

淡江大學機構典藏 > 商管學院 > 統計學系暨研究所 > 期刊論文 > Item 987654321/106159

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題名:	Conditional maximum likelihood estimation for control charts in the presence of correlation
作者:	Tsai, T.-R.;Chiang, Y.-C.;Wu, S.-J.
關鍵詞:	Autoregressive moving average model;exponentially weighted moving average control charts;first-order autoregressive model;maximum likelihood estimation;Shewhart control chart
日期:	2004-12-01
上傳時間:	2016-04-22 13:22:26 (UTC+8)
摘要:	In practice, the observations are usually autocorrelated. The autocorrelation between successive observations has a large impact on control charts with the assumption of independence. It can decrease the in-control average run length which leads to a higher false alarm rate than in the case of independent process. This paper considers the problem of monitoring the mean of AR(1) process with a random error and provides a conditional maximum likelihood estimation method to improve the control chart performance when the sample size is small. Numerical result shows that the standard estimation method is very unstable when the sample size is small, and there is a large probability that the standard estimation method breaks down if the level of correlation between successive means is small-to-moderate. The new method given here overcomes this difficulty.
關聯:	Brazilian Journal of Probability and Statistics 18(2), pp.151-162
顯示於類別:	[統計學系暨研究所] 期刊論文

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