基于IGGⅢ权函数的稳健ARMA残差控制图构建

Construction of Robust ARMA Residual Control Charts with IGGⅢ Weight Functions

针对传统ARMA残差控制图易受异常值的影响,本文首先用由中国科学院测量与地球物理研究所提出的抗差方法(IGGⅢ)权函数建立稳健ARMA模型,得到独立同分布残差序列.接着用加权三均值和平均绝对离差分别估计均值和标准差,进而构建稳健ARMA残差控制图.模拟与实证检验均表明:本文所构建的稳健控制图能更好地抵抗异常值干扰,监控效果优于传统控制图.

Since the classical ARMA residual control chart is susceptible to outlier values,this paper first establishes a robust ARMA model based on the Institute of Geodesy&Geophysics Ⅲ(IGGⅢ)weight function to obtains an independent residual distribution sequence.Then a robust residual control chart is constructed based on the estimations of the mean and standard deviation by the weighted three mean and average absolute deviation,respectively.Simulations and empirical tests show that the robust control chart can resist the outlier interferences better,and the monitoring effect is better than that of the traditional control chart.