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1、PREDICTIONBASEDONTIMESERIES.5.APPLICATIONSINQUALITYCONTROL*AlexandruISAIC-MANIU**ViorelGh.VODĂAbstractInthispaperweproposeapredictionmodelbasedontimeseriesinvolvingEWMAtypeapproach.AfterabriefhistoricalsketchandashortpresentationoftheGLM-GeneralLinearModelw
2、econstructthepredictorwhichisanaverageexponentiallyweighteddependingonpreviousandcurrentvaluesoftheseries.ThelastparagraphisdedicatedtoananalogywithSPC-StatisticalProcessControlandpossibleapplicationsareemphasized.Opentheoreticalproblemsarediscussedalso.Key
3、words:timeseries,EWMA,GLM,SPC,predictorwhitenoise,correctionfactorJELClassification:C32,C531.PreliminariesTimeseries(or“chronologicalseries”intheFrenchliterature)areconsideredbysomeauthors–forexampleStigler(1986,[28],pp.22-30)–ofthesameoriginastheregression
4、andstatisticalcorrelationtheories,fortheyoffertheconnection(dependence)betweenameasurablevariableY–forexample,thevolumeofsalesofacertainproductinagivenperiodoftime–andthe“discrete”timevariableassuch:salespermonth,quarter,year,andsoon.ThefamousAmericanqualit
5、ologistWilliamEdwardDeming(1900-1993)thinksthatregressionandcorrelation,aswellastimeseriescanfittheso-calledcurvefittingprocedure(Deming,1964).Demingjustifieshisstatementwiththefactthattherespectivesub-domainshaveascommonworkprocedurethewell-knownordinaryle
6、astsquaremethod(Gauss–Legendre–Markov–seealsoDictionaryofGeneralStatistics,DicĠionardeStatisticăGenerală,Ed.Economică,Bucureşti,2003).ThejunctionbetweenthetimeseriestheoryandtheregressionandcorrelationtheoryhasbeenmadebyeconomistssuchasClementJuglar(1819-19
7、05),S.W.Jevons*TheAcademyofEconomicStudies,Bucharest,email:alexmaniu2000@yahoo.com.**“GheorgheMihoc-CaiusIacob”InstituteofMathematicStatisticsandAppliedMathematicsoftheRomanianAcademy,Bucharest.70RomanianJournalofEconomicForecasting–1/2010PredictionBasedonT
8、imeSeries.ApplicationsinQualityControl(1835–1883),W.ClairMitchell(1874-1948),RagnarFrisch(1894-1973),JohannSchumpeter(1883-1956)andothers.AmongtheirforerunnerswecanmentiontheBelgianmathematicianPierreF
