Average run length of the long-memory autoregressive fractionally integrated moving average process of the exponential weighted moving average control chart

DOI10.1080/23311835.2017.1358536zbMATH Open1426.62393OpenAlexW2738252577WikidataQ115549380 ScholiaQ115549380MaRDI QIDQ5193451FDOQ5193451

Authors: R. Sunthornwat, Y. Areepong, S. Sukparungsee 

Publication date: 10 September 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2017.1358536

Recommendations

• Numerical integral equation method of average run length on EWMA control chart for long-memory process with ARFIMA model
• Performance of exponentially weighted moving average control chart for exponential ARIMA processes
• An explicit expression of average run length of exponentially weighted moving average control chart with ARIMA\((p,d,q)(P,D,Q)_L\) models
• scientific article; zbMATH DE number 6971067
• scientific article; zbMATH DE number 7524262

zbMATH Keywords

average run lengthARFIMA processEWMA control chartnumerical integral equation

Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• CONTINUOUS INSPECTION SCHEMES
• Fractional ARIMA with stable innovations
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Time Series Regression with a Unit Root
• Long memory and regime switching
• Analysis and Approximation of Contact Problems with Adhesion or Damage
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• Long memory and forecasting in euro/yen deposit rates
• A a comparison of the markov chain and the integral equation approaches for evaluating the run length distribution of quality control charts
• Invariance of the first difference in ARFIMA models
• Exact expression of average run length of EWMA chart for \(\mathrm{SARIMA(P,D,Q)}_L\) procedure
• On EWMA procedure for AR(1) observations with exponential white noise

Cited In (5)

• Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model
• Title not available (Why is that?)
• The average run lengths of control charts for stable Lévy processes
• Title not available (Why is that?)
• Title not available (Why is that?)

This page was built for publication: Average run length of the long-memory autoregressive fractionally integrated moving average process of the exponential weighted moving average control chart

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5193451)