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University of Ulm, Faculty of Mathematics and Economics
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Some Properties of the EWMA Control Chart in the Presence of
Autocorrelation
Department of Stochastics
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General Information
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Abstract
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Schmid (1996) extended the classical EWMA control chart to autocorrelated
processes. Here, we consider the tail probability of the run length
in the in-control state. The in-control process is assumed to be a
stationary Gaussian process. It is proved that the tails for the autocorrelated
process are larger than in the case of independent variables if all
autocovariances are greater or equal to zero. The inequality is strict.
Moreover, this result is still valid for stationary processes having
elliptically contoured marginal distributions.
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