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Statistical Control Charts of I(d) processes

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0710102-145834
Date10 July 2002
CreatorsWang, Chi-Ling
ContributorsChing-Nun Lee, Mei-Hui Guo, Mong-Na Lo Huang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0710102-145834
Rightsrestricted, Copyright information available at source archive

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