Title page for etd-0710102-145834


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URN etd-0710102-145834
Author Chi-Ling Wang
Author's Email Address wangclg@math.nsysu.edu.tw
Statistics This thesis had been viewed 5069 times. Download 28 times.
Department Applied Mathematics
Year 2001
Semester 2
Degree Master
Type of Document
Language English
Title Statistical Control Charts of I(d) processes
Date of Defense 2002-05-31
Page Count 77
Keyword
  • ARFIMA process
  • long-memory process
  • EWRMS
  • I(d) process
  • EWMA
  • Abstract Long range dependent processes occur in many fields, it is important to monitor these processes to early detect their shifts. This paper considers the problem of detecting changes in an I(d) process or an ARFIMA(p,d,q) process by statistical control charts. The control limits of EWMA and EWRMS control charts of I(d) processes are established and analytic forms are derived. The average run lengths of these control charts are estimated by Monte Carlo simulations. In addition, we illustrate the performance of the control charts by empirical examples of I(d) processes and ARFIMA(1,d,1) processes.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Ching-Nun Lee - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0710102-145834.pdf
  • indicate in-campus access only
    Date of Submission 2002-07-10

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