Title :
Modified residual control charts for processes with changing variances
Author :
Sun, Qiuxia ; Zhao, Jianli ; Gao, Qisheng
Abstract :
Statistical process control has paid less attention to the possibility that the variance of the process may change over time such as economic or social processes. The generalized autoregressive conditional heteroscedastic(GARCH) model here is put forward to fit processes with changing variances and the modified standard and EWMA residual control charts are adopted for monitoring the residuals from the fitting model for the target process. The developed approach shows more validity and rationality. Lastly, an example is provided to illustrate the application and the effectiveness of the proposed control charts.
Keywords :
autoregressive moving average processes; control charts; economics; social sciences; statistical process control; EWMA residual control chart; GARCH model; economic process; generalized autoregressive conditional heteroscedastic model; modified residual control chart; process variance; residual monitoring; social process; statistical process control; Indexes; Monitoring; Yttrium; EWMA control chart; GARCH model; Standard control chart; Statistical process control;
Conference_Titel :
Control and Decision Conference (CCDC), 2011 Chinese
Conference_Location :
Mianyang
Print_ISBN :
978-1-4244-8737-0
DOI :
10.1109/CCDC.2011.5968262