Explicit formulas of average run length of cumulative sum control chart for autoregressive integrated moving average with exogenous variable model

DOI10.17654/AS050010021MaRDI QIDQ5269515zbMATH OpenOpenAlexFDO

Authors Y. Areepong, S. Sukparungsee

Publication date 27 June 2017

Published in Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/10503.htm

zbMATH Keywords

explicit formulasaverage run length (ARL)cumulative sum control chart (CUSUM)autoregressive integrated moving average with exogenous variable model (ARIMAX)numerical integral equations (NIE)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Recommendations

• Explicit formulas of average run length for ARIMA\((p,d,q)(P,D,Q)_L\) process of CUSUM control chart
• An explicit expression of average run length of exponentially weighted moving average control chart with ARIMA\((p,d,q)(P,D,Q)_L\) models
• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• Explicit formulas of average run length for \(\mathrm{ARMA}(1, 1)\) process of CUSUM control chart
• Analytical explicit formula for performance of cumulative sum procedure for exponential distribution

Cited in

(5)

• The \(\operatorname{ARIMA}(p,d,q)\) on upper sided of CUSUM procedure
• 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
• Explicit formulas of average run length for ARIMA\((p,d,q)(P,D,Q)_L\) process of CUSUM control chart
• 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 7524262 (Why is no real title available?)

This page was built for publication: Explicit formulas of average run length of cumulative sum control chart for autoregressive integrated moving average with exogenous variable model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5269515)