The ARL of modified Shewhart control charts for conditionally heteroskedastic models
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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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 |
repository.mail.fl_str_mv |
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1799133821151477760 |