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Misleading Signals in Simultaneous Residual Schemes for the Process Mean and Variance of AR(1) Processes: A Stochastic Ordering Approach

2013; Springer International Publishing; Linguagem: Inglês

10.1007/978-3-642-34904-1_18

2194-7767

Patrícia Ferreira Ramos, Manuel Cabral Morais, António Pacheco,

Scientific Measurement and Uncertainty Evaluation

Assessing the performance of simultaneous schemes for the process mean and variance requires the use of the probability of misleading signals (PMS). This chapter discusses the impact of autocorrelation on the PMS of simultaneous Shewhart and EWMA residual schemes for the mean and the variance of a stationary autoregressive process of order 1, AR(1). The assessment of this impact is done numerically and by means of stochastic ordering.