The ARL of modified Shewhart control charts for conditionally heteroskedastic models

Detalhes bibliográficos
Autor(a) principal: Gonçalves, Esmeralda
Data de Publicação: 2013
Outros Autores: Leite, Joana, Mendes-Lopes, Nazaré
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/44813
https://doi.org/10.1007/s00362-011-0408-z
Resumo: In this article we consider the modified Shewhart control chart for ARCH processes and introduce it for threshold ARCH (TARCH) ones. For both charts, we determine bounds for the distribution of the in-control run length (RL) and, consequently, for its average (ARL), both depending only on the distribution of the generating white noise, the model parameters and the critical value. For the ARCH model, we compare our bounds with others available in literature and show how they improve the existing ones. We present a simulation study to assess the quality of the bounds calculated for the ARL.
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spelling The ARL of modified Shewhart control charts for conditionally heteroskedastic modelsIn this article we consider the modified Shewhart control chart for ARCH processes and introduce it for threshold ARCH (TARCH) ones. For both charts, we determine bounds for the distribution of the in-control run length (RL) and, consequently, for its average (ARL), both depending only on the distribution of the generating white noise, the model parameters and the critical value. For the ARCH model, we compare our bounds with others available in literature and show how they improve the existing ones. We present a simulation study to assess the quality of the bounds calculated for the ARL.Springer2013info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/44813http://hdl.handle.net/10316/44813https://doi.org/10.1007/s00362-011-0408-zhttps://doi.org/10.1007/s00362-011-0408-zenghttps://link.springer.com/article/10.1007/s00362-011-0408-zGonçalves, EsmeraldaLeite, JoanaMendes-Lopes, Nazaréinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:02:51Zoai:estudogeral.uc.pt:10316/44813Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:25.418352Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The ARL of modified Shewhart control charts for conditionally heteroskedastic models
title The ARL of modified Shewhart control charts for conditionally heteroskedastic models
spellingShingle The ARL of modified Shewhart control charts for conditionally heteroskedastic models
Gonçalves, Esmeralda
title_short The ARL of modified Shewhart control charts for conditionally heteroskedastic models
title_full The ARL of modified Shewhart control charts for conditionally heteroskedastic models
title_fullStr The ARL of modified Shewhart control charts for conditionally heteroskedastic models
title_full_unstemmed The ARL of modified Shewhart control charts for conditionally heteroskedastic models
title_sort The ARL of modified Shewhart control charts for conditionally heteroskedastic models
author Gonçalves, Esmeralda
author_facet Gonçalves, Esmeralda
Leite, Joana
Mendes-Lopes, Nazaré
author_role author
author2 Leite, Joana
Mendes-Lopes, Nazaré
author2_role author
author
dc.contributor.author.fl_str_mv Gonçalves, Esmeralda
Leite, Joana
Mendes-Lopes, Nazaré
description In this article we consider the modified Shewhart control chart for ARCH processes and introduce it for threshold ARCH (TARCH) ones. For both charts, we determine bounds for the distribution of the in-control run length (RL) and, consequently, for its average (ARL), both depending only on the distribution of the generating white noise, the model parameters and the critical value. For the ARCH model, we compare our bounds with others available in literature and show how they improve the existing ones. We present a simulation study to assess the quality of the bounds calculated for the ARL.
publishDate 2013
dc.date.none.fl_str_mv 2013
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10316/44813
http://hdl.handle.net/10316/44813
https://doi.org/10.1007/s00362-011-0408-z
https://doi.org/10.1007/s00362-011-0408-z
url http://hdl.handle.net/10316/44813
https://doi.org/10.1007/s00362-011-0408-z
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://link.springer.com/article/10.1007/s00362-011-0408-z
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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