Control charts for high-dimensional time series with estimated in-control parameters

• Published in: Sequential analysis Vol. 43; no. 1; pp. 103 - 129
• Main Authors: Bodnar, Rostyslav, Bodnar, Taras, Schmid, Wolfgang
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.01.2024; Taylor & Francis Ltd
• Subjects: Control charts; Empirical analysis; Euclidean geometry; High-dimensional time series; Mathematical models; MEWMA control chart; Parameters; sequential surveillance; Statistics; vector autoregressive process

In this article, we study the effect of misspecification caused by fitting the target process in the Phase I analysis of the monitoring procedure on the behavior of several types of multivariate exponentially weighted moving average (MEWMA) control charts in the high-dimensional setting. In particul...