Long range dependent processes occur in many fields, it is important to monitor these processes to early detect their shifts. This paper considers the problem of detecting changes in an I(d) process or an ARFIMA(p,d,q) process by statistical control charts. The control limits of EWMA and EWRMS control charts of I(d) processes are established and analytic forms are derived. The average run lengths of these control charts are estimated by Monte Carlo simulations. In addition, we illustrate the performance of the control charts by empirical examples of I(d) processes and ARFIMA(1,d,1) processes.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0710102-145834 |
| Date | 10 July 2002 |
| Creators | Wang, Chi-Ling |
| Contributors | Ching-Nun Lee, Mei-Hui Guo, Mong-Na Lo Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0710102-145834 |
| Rights | restricted, Copyright information available at source archive |
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