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

DOI10.1080/23311835.2017.1358536MaRDI QIDQ5193451zbMATH OpenOpenAlexWikidataFDO

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

Publication date 10 September 2019

Published in Cogent Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

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

Cited in

(9)

• Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model
• EWMA control charts for detecting changes in the mean of a long-memory process
• 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
• 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
• The average run lengths of control charts for stable Lévy processes
• scientific article; zbMATH DE number 6971067 (Why is no real title available?)
• Detection capability of the modified EWMA chart for the trend stationary AR(1) model
• scientific article; zbMATH DE number 7524262 (Why is no real title available?)

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