Performance of control charts for autoregressive conditional heteroscedastic processes

DOI10.1080/02664769922142zbMath0951.62099OpenAlexW2101305091MaRDI QIDQ4935461

John Zhang, Yue Fang

Publication date: 4 January 2001

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664769922142

zbMATH Keywords

EWMA control chartstime-varying control limitsheteroscadasticity

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 (1)

Some statistical aspects of methods for detection of turning points in business cycles

Cites Work

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• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes

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