A Pattern Test for Distinguishing Between Autoregressive and Mean-Shift Data

WAYNE A. TAYLOR
Baxter Healthcare Corporation, Round Lake, IL 60073

Statistical methods such as control charts and change-point analysis are commonly used
to determine whether the mean has shifted. Such methods assume independent errors
around a possibly changing mean. When such techniques are applied to autoregressive
data, erroneous conclusions can result. However, shifts of the mean create
autocorrelation between the observations making it difficult to distinguish mean-shift
data from autoregressive data. A pattern test has been devised that can reliably
distinguish between these two important cases.

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