PREDICTION BASED ON TIME SERIES. APPLICATIONS IN QUALITY CONTROL质量控制中的应用.pdfVIP

PREDICTION BASED ON TIME SERIES. 5. APPLICATIONS IN QUALITY CONTROL Alexandru ISAIC-MANIU Viorel Gh. VOD Abstract In this paper we propose a prediction model based on time series involving EWMA type approach. After a brief historical sketch and a short presentation of the GLM - General Linear Model we construct the predictor which is an average exponentially weighted depending on previous and current values of the series. The last paragraph is dedicated to an analogy with SPC - Statistical Process Control and possible applications are emphasized. Open theoretical problems are discussed also. Keywords: time series, EWMA, GLM, SPC, predictor white noise, correction factor JEL Classification: C32, C53 1. Preliminaries Time series (or “chronological series” in the French literature) are considered by some authors – for example Stigler (1986, [28], pp. 22-30) – of the same origin as the regression and statistical correlation theories, for they offer the connection (dependence) between a measurable variable Y – for example, the volume of sales of a certain product in a given period of time – and the “discrete” time variable as such: sales per month, quarter, year, and so on. The famous American qualitologist William Edward Deming (1900 - 1993) thinks that regression and correlation, as well as time series can fit the so-called curve fitting procedure (Deming, 1964). Deming justifies his statement with the fact that the respective sub-domains have as common work procedure the well-known ordinary least square method (Gauss – Legendre – Markov – see also Dictionary of General Statistics, Dicionar de Statistic General, Ed. Economic, Bu