The influence of the estimation of parameters in Shewhart control charts is investigated. It is shown by simulation and asymptotics that (very) large sample sizes are needed to accurately determine control charts if estimators are plugged in. Correction terms are developed to get accurate...

In this paper sequential procedures are proposed for jointly monitoring all elements of the covariance matrix at lag 0 of a multivariate time series. All control charts are based on exponential smoothing. As a measure of the distance between the target values and the actual values the...