Performance of control charts for autoregressive conditional heteroscedastic processes

DOI10.1080/02664769922142MaRDI QIDQ4935461zbMATH OpenOpenAlexFDO

Authors Yue Fang, John Zhang

Publication date 4 January 2001

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664769922142

zbMATH Keywords

EWMA control chartsheteroscadasticitytime-varying control limits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

Review text

The-performance of usual EWMA control charts not taking into account heteroscadasticity for controlling a process modeled by a GARCH (general autoregressive conditional heteroscedastic) model is investigated by means of simulation experiments. It turns out that generally the in-control ARL is smaller than specified. Control charts with time-varying control limits are proposed and it is shown that they perform better.

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes

Cited in

(6)

• The ARL of modified Shewhart control charts for conditionally heteroskedastic models
• Some statistical aspects of methods for detection of turning points in business cycles
• A simulation study and evaluation of multivariate forecast based control charts applied to ARMA processes
• scientific article; zbMATH DE number 946617 (Why is no real title available?)
• scientific article; zbMATH DE number 1449649 (Why is no real title available?)
• New measures of statistical performance of process control charts

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