Robust control charts for time series data |
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| Authors: | Christophe Croux Sarah Gelper Koen Mahieu |
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| Affiliation: | 1. K.U.Leuven & Tilburg University, Naamsestraat 69, B3000 Leuven, Belgium;2. Rotterdam School of Management, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands;3. K.U.Leuven, Naamsestraat 69, B3000 Leuven, Belgium;1. College of Information Science and Engineering, Northeastern University, Shenyang 110819, Liaoning, PR China;2. State Key Laboratory of Synthetical Automation of Process Industry, Northeastern University, Shenyang 110819, Liaoning, PR China;1. Department of Systems Engineering and Engineering Management, City University of Hong Kong, Hong Kong, China;2. XLRI-Xavier School of Management, Production Operations and Decision Sciences Area, XLRI Jamshedpur, Jharkhand, India;3. City University of Hong Kong Shenzhen Research Institute, Shenzhen, PR China;1. Chemical Engineering Program, Texas A&M University at Qatar, Doha, Qatar;2. Electrical and Computer Engineering Program, Texas A&M University at Qatar, Doha, Qatar |
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| Abstract: | This article presents a control chart for time series data, based on the one-step-ahead forecast errors of the Holt–Winters forecasting method. We use robust techniques to prevent that outliers affect the estimation of the control limits of the chart. Moreover, robustness is important to maintain the reliability of the control chart after the occurrence of alarm observations. The properties of the new control chart are examined in a simulation study and on a real data example. |
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