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Information Journal Paper

Title

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

Pages

  473-484

Keywords

MAXIMUM LIKELIHOOD ESTIMATOR (MLE) 

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.

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    Cite

    APA: Copy

    KHEDMATI, MAJID, & AKHAVAN NIAKI, SEYED TAGHI. (2015). IDENTIFYING THE TIME OF A STEP CHANGE IN AR (1) AUTO-CORRELATED SIMPLE LINEAR PROFILES. JOURNAL OF INDUSTRIAL ENGINEERING INTERNATIONAL, 11(4), 473-484. SID. https://sid.ir/paper/310028/en

    Vancouver: Copy

    KHEDMATI MAJID, AKHAVAN NIAKI SEYED TAGHI. IDENTIFYING THE TIME OF A STEP CHANGE IN AR (1) AUTO-CORRELATED SIMPLE LINEAR PROFILES. JOURNAL OF INDUSTRIAL ENGINEERING INTERNATIONAL[Internet]. 2015;11(4):473-484. Available from: https://sid.ir/paper/310028/en

    IEEE: Copy

    MAJID KHEDMATI, and SEYED TAGHI AKHAVAN NIAKI, “IDENTIFYING THE TIME OF A STEP CHANGE IN AR (1) AUTO-CORRELATED SIMPLE LINEAR PROFILES,” JOURNAL OF INDUSTRIAL ENGINEERING INTERNATIONAL, vol. 11, no. 4, pp. 473–484, 2015, [Online]. Available: https://sid.ir/paper/310028/en

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