Robust control charts for time series data

This article presents a control chart for time series data, based on the one-step-ahead forecast errors of the Holt–Winters forecasting method. We use robust techniques to prevent that outliers affect the estimation of the control limits of the chart. Moreover, robustness is important to maintain the reliability of the control chart after the occurrence of alarm observations. The properties of the new control chart are examined in a simulation study and on a real data example.

► A robust control chart, relying on a robust Holt–Winters algorithm, is proposed.
► The robust procedure remains powerful in presence of outliers in the training data.
► The chart displays the time series and monitors the residuals.