The ARL of modified Shewhart control charts for conditionally heteroskedastic models

DOI10.1007/s00362-011-0408-zzbMath1256.62077OpenAlexW1984606601MaRDI QIDQ1935676

Esmeralda Gonçalves, Joana Leite, Nazaré Mendes Lopes

Publication date: 19 February 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/44813

zbMATH Keywords

time seriesstationarityaverage run lengthARCH modelTARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

Related Items

On the Finite Dimensional Laws of Threshold GARCH Processes, On the Distribution Estimation of Power Threshold Garch Processes

Cites Work

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• On the run length of a Shewhart chart for correlated data
• On the Distributional Properties of GARCH Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Threshold heteroskedastic models