Estimation of the Change Point in Monitoring the Mean of Autocorrelated Processes Lee, Jae-Heon; Han, Jung-Hee; Jung, Sang-Hyun;
Knowing the time of the process change could lead to quicker identification of the responsible special cause and less process down time, and it could help to reduce the probability of incorrectly identifying the special cause. In this paper, we propose the maximum likelihood estimator (MLE) for the process change point when a control chart is used in monitoring the mean of a process in which the observations can be modeled as an AR(1) process plus an additional random error. The performance of the proposed MLE is compared to the performance of the built-in estimator when they are used in EWMA charts based on the residuals. The results show that the proposed MLE provides good performance in terms of both accuracy and precision of the estimator.
Process change point;autocorrelated process;exponentially weighted moving average chart;residual;maximum likelihood estimator;