Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, Springer Berlin Heidelberg, (2013), 173-182 http://dx.doi.org/10.1007/978-3-642-34904-1_18

Assessing the performance of simultaneous schemes for the process mean and variance requires the use of the probability of misleading signals (PMS). This chapter discusses the impact of autocorrelation on the PMS of simultaneous Shewhart and EWMA residual schemes for the mean and the variance of a stationary autoregressive process of order 1, AR(1). The assessment of this impact is done numerically and by means of stochastic ordering.

CEMAT - Center for Computational and Stochastic Mathematics