Performance of control charts for autoregressive conditional heteroscedastic processes

Citation
Fang, Yue et Zhang, John, Performance of control charts for autoregressive conditional heteroscedastic processes, Journal of applied statistics , 26(6), 1999, pp. 701-714
ISSN journal
02664763
Volume
26
Issue
6
Year of publication
1999
Pages
701 - 714
Database
ACNP
SICI code
Abstract
This paper examines the robustness of control schemes to data conditional heteroscedasticity. Overall, the results show that the control schemes which do not account for heteroscedasticity fail in providing reliable information on the status of the process. Consequently, incorrect conclusions will be drawn by applying these procedures in the presence of data conditional heteroscedasticity. Control charts with time-varying control limits are shown to be useful in that context.