Conference Agenda
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Statistics in natural sciences and technology Location: 0.001 Session Chair: Gaby Schneider Session Chair: Ansgar Steland | |
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EWMA control charts for the correlation coefficient Helmut Schmidt University Hamburg, Germany There are indeed many EWMA control charts for various parameters available. However, there is none for monitoring the linear correlation coefficient ρ. Despite it is known for a long time, the usage of he explicit distribution of the estimator of ρ while setting up a control chart seems to be non-existent. Here, we build an EWMA chart utilizing this estimator, namely the Pearson correlation, and calculate the most popular performance measure, the zero-state average run length (ARL), by means of various numerical methods. Less surprisingly, the two standard methods work poorly for certain chart designs. We solve these problems by utilizing piece-wise collocation. Moreover, we examine further configuration details and provide some guidelines. Two applications illustrate the usefulness of monitoring the ρ level. | |
