Determining the ARL for a shift in the mean of a long-memory ARFIMA(1, d, 1)(1, D, 1)_s process with exponential white noise running on a CUSUM control chart

MaRDI QIDQ6589815zbMATH OpenFDO

Authors Wilasinee Peerajit

Publication date 20 August 2024

Published in Thailand Statistician (Search for Journal in Brave)

zbMATH Keywords

analytical integral equationaverage run lengthnumerical integral equation (NIE) method

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A a comparison of the markov chain and the integral equation approaches for evaluating the run length distribution of quality control charts
• An approach to the probability distribution of cusum run length
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• CONTINUOUS INSPECTION SCHEMES
• 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 analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model
• Fractional differencing
• scientific article; zbMATH DE number 7154731 (Why is no real title available?)
• Minimax optimality of CUSUM for an autoregressive model
• The Effect of Serial Correlation on the Performance of CUSUM Tests

This page was built for publication: 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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6589815)