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A note on CUSUM design for autocorrelated processes  

Lee, Jae-June (Department of Statistics, Inha University)
Lee, Jong-Seon (Department of Statistics, Inha University)
Publication Information
Journal of Korean Society for Quality Management / v.36, no.4, 2008 , pp. 87-92 More about this Journal
Abstract
It is common to use CUSUM charts for detecting small level shifts in processes control, in which reference value(k) and decision interval(h) are the design parameters to be determined. To control process with autocorrelation, CUSUM charts could be applied to residuals obtained from fitting ARIMA models. However, constant level shifts in processes lead to varying mean shifts in residual processes and thus standard CUSUM charts may need to be modified. In this paper, we study the performance of CUSUM charts with various design parameters applied to autocorrelated processes, especially focussing on ARMA(1,1) models, and propose how they can be determined to get better performance in terms of the average run length.
Keywords
CUSUM; Autocorrelation; Reference value; ARMA(1,1);
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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