Performance and Volatility Modelling for Shariah Compliant Stocks in Malaysia Using Exponentially Weighted Moving Average
نویسندگان
چکیده
منابع مشابه
Using exponentially weighted moving average (EWMA) charts
1. Unlike X -R and Individuals charts (without the Western Electric Handbook rules which aim to increase sensitivity), all of the data collected over time may be used to determine the control status of a process. 2. The EWMA is often superior to the CUSUM charting technique for detecting "larger" shifts. 3. EWMA schemes may be applied for monitoring standard deviations in addition to the proces...
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Abbas et al. (Abbas N, Riaz M, Does RJMM. Enhancing the performance of EWMA charts. Quality and Reliability Engineering International 2011; 27(6):821–833) proposed the use of signaling schemes with exponentially weighted moving average charts (named as 2/2 and modified 2/3 schemes) for their improved design structures. A two-sided control structure of these schemes is given in the paper. The co...
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The drawbacks to multivariate charting schemes is their inability to identify which variable was the source of the signal. The multivariate exponentially weighted moving average (MEWMA) developed by Lowry, et al (1992) is an example of a multivariate charting scheme whose monitoring statistic is unable to determine which variable caused the signal. In this paper, the run length performance of m...
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In many practical situations, multiple variables often need to be monitored simultaneously to ensure the process is in control. In this article, we develop a feasible multivariate monitoring procedure based on the general Multivariate Exponentially Weighted Moving Average (MEWMA) to monitor the multivariate count data. The multivariate count data is modeled using Poisson-Lognormal distribution ...
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.Classifying streaming data requires the development of methods which are computationally efficient and able to cope with changes in the underlying distribution of the stream, a phenomenon known in the literature as concept drift. We propose a new method for detecting concept drift which uses an Exponentially Weighted Moving Average (EWMA) chart to monitor the misclassification rate of an strea...
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ژورنال
عنوان ژورنال: Malaysian Journal of Science Health & Technology
سال: 2021
ISSN: 2601-0003
DOI: 10.33102/mjosht.v7i.101