The effects of model parameter deviations on the variance of a linearly filtered time series

DOI10.1002/NAV.20414zbMATH Open1303.62047OpenAlexW2001168722MaRDI QIDQ3580163FDOQ3580163

Authors: Daniel W. Apley, Hyun Cheol Lee 

Publication date: 11 August 2010

Published in: Naval Research Logistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20414

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zbMATH Keywords

time series forecastingrobustnessparameter uncertaintyautoregressive moving average modelcontrol chart

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• A Reference-Free Cuscore Chart for Dynamic Mean Change Detection and a Unified Framework for Charting Performance Comparison
• Average run lengths for cusum control charts applied to residuals
• Some properties of the EWMA control chart in the presence of autocorrelation
• An evaluation of forecast-based quality control schemes

Cited In (1)

• Linear time series variance

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