Robust Control Charts for Time Series Data

CentER Discussion Paper Series No. 2010-107

16 Pages Posted: 16 Apr 2010 Last revised: 30 Oct 2010

See all articles by Christophe Croux

Christophe Croux

KU Leuven - Faculty of Business and Economics (FEB)

Sarah Gelper

KU Leuven - Faculty of Business and Economics (FEB)

Koen Mahieu

affiliation not provided to SSRN

Date Written: April 1, 2010

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. .

Keywords: Control chart, Holt-Winters, Non-stationary time series, Outlier detection, Robustness, Statistical process contro

Suggested Citation

Croux, Christophe and Gelper, Sarah and Mahieu, Koen, Robust Control Charts for Time Series Data (April 1, 2010). CentER Discussion Paper Series No. 2010-107. Available at SSRN: https://ssrn.com/abstract=1588646 or http://dx.doi.org/10.2139/ssrn.1588646

Christophe Croux (Contact Author)

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Sarah Gelper

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Koen Mahieu

affiliation not provided to SSRN ( email )

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