Paper Information

Journal:   JOURNAL OF INDUSTRIAL ENGINEERING INTERNATIONAL   DECEMBER 2015 , Volume 11 , Number 4; Page(s) 473 To 484.
 
Paper: 

IDENTIFYING THE TIME OF A STEP CHANGE IN AR (1) AUTO-CORRELATED SIMPLE LINEAR PROFILES

 
 
Author(s):  KHEDMATI MAJID, AKHAVAN NIAKI SEYED TAGHI*
 
* DEPARTMENT OF INDUSTRIAL ENGINEERING, SHARIF UNIVERSITY OF TECHNOLOGY, AZADI AVE., 1458889694 TEHRAN, IRAN
 
Abstract: 

Assuming a first-order auto-regressive model for the auto-correlation structure between observations, in this paper, a transformation method is first employed to eliminate the effect of auto-correlation. Then, a maximum likelihood estimator (MLE) of a step change in the parameters of the transformed model is derived and three separate EWMA control charts are used to monitor the parameters of the profile. The performance of the proposed change-point estimator is next compared to the one of the built-in change-point estimator of EWMA control chart through some simulation experiments. The results show that the proposed MLE of the change point accurately estimates the true change point and outperforms the built-in estimator of EWMA chart for almost all shift values and auto-correlation coefficients, while the built-in estimator of EWMA chart, in general, underestimates the true change point.

 
Keyword(s): CHANGE POINT, MAXIMUM LIKELIHOOD ESTIMATOR (MLE), STEP CHANGE, SIMPLE LINEAR PROFILE, WITHIN-PROFILE AUTO-CORRELATION
 
References: 
 
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