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
Date Written: April 1, 2010
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
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