The ARIMA(p,d,q) on upper sided of CUSUM procedure

DOI10.1134/S1995080218030216MaRDI QIDQ722305zbMATH OpenOpenAlexWikidataFDO

Authors Piyapatr Busababodhin, Lili Zhang

Publication date 23 July 2018

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1995080218030216

zbMATH Keywords

numerical integrationaverage run lengthBanach's fixed point theoremFredholm integral equationcumulative sumautoregressive integrated moving average

Mathematics Subject Classification ID

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

Recommendations

• Explicit formulas of average run length for ARIMA\((p,d,q)(P,D,Q)_L\) process of CUSUM control chart
• Explicit formulas of average run length for \(\mathrm{ARMA}(1, 1)\) process of CUSUM control chart
• Explicit formulas of average run length of cumulative sum control chart for autoregressive integrated moving average with exogenous variable model
• Average run length of cumulative sum control charts for \(\mathrm{SARMA}(1, 1)_{\mathrm{L}}\) models
• Analytical expression of ARL of CUSUM chart for trend AR(\(p\)) process

Cites work

• A Statistical Control Chart for Stationary Process Data
• An approach to the probability distribution of cusum run length
• Analysis of average run length for CUSUM procedure with negative exponential data
• Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes
• Average run length of cumulative sum control charts for \(\mathrm{SARMA}(1, 1)_{\mathrm{L}}\) models
• Bayesian analysis of non-negative ar(2) processes
• ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER
• EVVMA and cusum control charts in the presence of correlation
• EWMA charts for monitoring the mean and the autocovariances of stationary processes
• Estimation for first-order autoregressive processes with positive or bounded innovations
• Exact solution of average run length of EWMA chart for MA\((q)\) processes
• Explicit analytical solutions for the average run length of CUSUM and EWMA charts
• First-order autoregressive gamma sequences and point processes
• Infrence for non-negative autoregressive schemes
• On ar(1) processes with exponential white noise

Cited in

(7)

• Numerical integral equation method for ARL of CUSUM chart for long-memory process with non-seasonal and seasonal ARFIMA models
• Explicit formulas of average run length of cumulative sum control chart for autoregressive integrated moving average with exogenous variable model
• 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
• Explicit formulas of average run length for \(\mathrm{ARMA}(1, 1)\) process of CUSUM control chart
• Derivation of explicit formulae for performance measures of CUSUM control chart for SMA(Q)\(_s\) model with exponential white noise
• Detection capability of the modified EWMA chart for the trend stationary AR(1) model

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