Details
| Original language | English |
|---|---|
| Pages (from-to) | 5709-5737 |
| Number of pages | 29 |
| Journal | Communications in Statistics: Simulation and Computation |
| Volume | 51 |
| Issue number | 10 |
| Early online date | 23 Jul 2020 |
| Publication status | Published - 2022 |
Abstract
The purpose of this article is the statistical surveillance of spatial autoregressive models, where the observed process is monitored over both space and time. The considered spatial model contains disturbances with heavy tails. The control procedures based on exponential smoothing or cumulative sums are constructed using characteristic quantities including the first and the second moments to monitor both means and covariances. Via Monte Carlo simulation, the in-control upper control limits of the control schemes are derived. In a further simulation study, we compare the detection speed of these procedures in the out-of-control situation.
Keywords
- Monte Carlo simulation, SAR model with t-distributed error term, Spatiotemporal process control
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Mathematics(all)
- Modelling and Simulation
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In: Communications in Statistics: Simulation and Computation, Vol. 51, No. 10, 2022, p. 5709-5737.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Spatiotemporal procedures for the statistical surveillance of spatial autoregressive models with heavy tails
AU - Garthoff, R.
AU - Otto, P.
PY - 2022
Y1 - 2022
N2 - The purpose of this article is the statistical surveillance of spatial autoregressive models, where the observed process is monitored over both space and time. The considered spatial model contains disturbances with heavy tails. The control procedures based on exponential smoothing or cumulative sums are constructed using characteristic quantities including the first and the second moments to monitor both means and covariances. Via Monte Carlo simulation, the in-control upper control limits of the control schemes are derived. In a further simulation study, we compare the detection speed of these procedures in the out-of-control situation.
AB - The purpose of this article is the statistical surveillance of spatial autoregressive models, where the observed process is monitored over both space and time. The considered spatial model contains disturbances with heavy tails. The control procedures based on exponential smoothing or cumulative sums are constructed using characteristic quantities including the first and the second moments to monitor both means and covariances. Via Monte Carlo simulation, the in-control upper control limits of the control schemes are derived. In a further simulation study, we compare the detection speed of these procedures in the out-of-control situation.
KW - Monte Carlo simulation
KW - SAR model with t-distributed error term
KW - Spatiotemporal process control
UR - http://www.scopus.com/inward/record.url?scp=85088431323&partnerID=8YFLogxK
U2 - 10.1080/03610918.2020.1779294
DO - 10.1080/03610918.2020.1779294
M3 - Article
VL - 51
SP - 5709
EP - 5737
JO - Communications in Statistics: Simulation and Computation
JF - Communications in Statistics: Simulation and Computation
SN - 0361-0918
IS - 10
ER -