ENBIS: European Network for Business and Industrial Statistics

Estimating Change Point for Autocorrelated Processes

22 September 2009, 14:45 – 15:05

Abstract

Submitted by

Elnaz Asghari

Authors

Elnaz Asghari,Mina Shekari,Mehdi Davoodi

Abstract

Knowing when a process changed would simplify the search and identification of the special cause. The estimators are applied once a control chart signals indicating the presence of a assignable cause of variability. The knowledge of the change point can greatly aid the quality practitioner in identifying and removing special causes.
In this paper, a maximum likelihood estimator (MLE) for the location parameter of a first-order autoregressive (AR (1)) model is designed at the presence of a linear trend disturbance. Indeed, the performance of this estimator is compared with the performance of the estimator designed for the step changes when a linear trend is present. Simulation results are provided to evaluate the effectiveness of this change point estimator.

Key words:
Change point; Linear trend; CUSUM control chart; AR(1).

Return to programme