Control Chart for Monitoring Autocorrelated Process with Multiple Exogenous Inputs

DOI10.1080/03610918.2014.944656zbMath1349.62589OpenAlexW2067868278MaRDI QIDQ2828719

Ma. Sofia Criselda A. Poblador, Erniel B. Barrios

Publication date: 26 October 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.944656

zbMATH Keywords

model uncertaintycontrol chartEWMAAR-sieve bootstrapautocorrelated process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

Guaranteed conditional ARL performance in the presence of autocorrelation

Cites Work

• Stable distributions for asset returns
• Volatility forecasting using threshold heteroskedastic models of the intra-day range
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• Regression and time series model selection in small samples
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Exponentially weighted moving average control charts with reflecting boundaries

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