Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model

DOI10.1080/03610918.2017.1408821MaRDI QIDQ5085924zbMATH OpenOpenAlexFDO

Authors Wilasinee Peerajit, Y. Areepong, S. Sukparungsee

Publication date 30 June 2022

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

Full work available at URL https://doi.org/10.1080/03610918.2017.1408821

zbMATH Keywords

average run length \((ARL)\)exponential white noisenumerical integral equation (NIE) methodSARFIMA\((P,D,Q)_S\) process

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(6)

• Cumulative sum control chart applied to monitor shifts in the mean of a long-memory \(\text{ARFIMAX}(p,d^*,q,r)\) process with exponential white noise
• scientific article; zbMATH DE number 7524262 (Why is no real title available?)
• scientific article; zbMATH DE number 7154731 (Why is no real title available?)
• Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model
• scientific article; zbMATH DE number 7734368 (Why is no real title available?)
• Determining the ARL for a shift in the mean of a long-memory \(\mathrm{ARFIMA}(1, d, 1)(1, D, 1)_s\) process with exponential white noise running on a CUSUM control chart

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