A Simple Method Using CuScore to Monitor Changes in ARMA Coefficients

Abstract

CuScore was proposed by Box and Ramirez (1992) as a statistical process control scheme. Applying CuScore to ARMA coefficients has not been reported. This article proposes a simple yet effective method using CuScore to monitor coefficient shifts in ARMA process. The use is illustrated with examples of simulated and real production data. It can be seen that CuScore is effective in sequentially detecting ARMR coefficient shifts, hence in this term superior to the usual cumulative scheme such as CUSUM. A plan to distinguish coefficient shift and mean or variance shift in ARMA process is also recommended.

Keywords:

• ARMA coefficients
• Control charts
• CuScore
• SPC
• Time series

Mathematics Subject Classification:

• 62M10