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Licensed Unlicensed Requires Authentication Published by De Gruyter (A) September 25, 2009

On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ

Manuel Cabral Morais, Yarema Okhrin, António Pacheco and Wolfgang Schmidt
From the journal

This paper discusses in detail the impact of shifts on the process variance (σ2) on the run length (RL) of modified upper one-sided EWMA charts for the process mean (μ) when the output is correlated.

Quite apart from the relevance of a process variance change in its own right, a dilation in σ2 can cause an undesirable stochastic decrease in the detection speed of some specific shifts in μ. This and other stochastic results are proved and illustrated with a few examples.

Received: 2005-February-1
Accepted: 2006-December-5
Published Online: 2009-09-25
Published in Print: 2006-10

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