This paper discusses in detail the impact of shifts on the process variance (sigma^2) on the run length (RL) of modified upper one-sided EWMA charts for the process mean (mu) when the output is correlated.
Quite apart from the relevance of a process variance change in its own right, a dilation in sigma^2 can cause an undesirable stochastic decrease in the detection speed of some specific shifts in mu. This and other stochastic results are proved and illustrated with a few examples.

CEMAT - Center for Computational and Stochastic Mathematics