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Annals of Data Science
Article . 2017 . Peer-reviewed
License: Springer TDM
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https://dx.doi.org/10.1007/s40...
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The Improved EWMA Chart for Heteroscedasticity Process

descriptionPublicationkeyboard_double_arrow_right Article 14 Nov 2017 English Publisher:Springer Science and Business Media LLCJournal:Annals of Data Science, volume 5, pages 21-27 (issn: 2198-5804, eissn: 2198-5812, Copyright policy )
Authors: Dan Zhou; Liu Liu; Xin Lai;

doi: 10.1007/s40745-017-0133-0

The Improved EWMA Chart for Heteroscedasticity Process

Abstract

It is doubtful of the validity of the EWMA chart that the observations from heteroscedasticity processes violate the assumption of identical distribution. In this paper, we discuss the effect of heteroscedasticity on the performance of the conventional EWMA chart. Then we analyze the principle of the improved EWMA chart for monitoring heteroscedasticity processes. Then we compare the detection performance of the improved EWMA chart with the conventional EWMA chart by using a criteria based on average run length (ARL). Finally, an instance is given to indicate the effectiveness of the proposed method and analyze the best trading time of the stock.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
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