Score Driven Exponentially Weighted Moving Average and Value-at-Risk Forecasting
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...
متن کاملExponentially Weighted Moving Average Control Schemes: Properties and Enhancements
Editor’s Note: This article and the first two accompanying discussions were presented orally at the Technomeirics session of the 33rd Annual Fall Technical Conference in Houston, Texas, October 25-27. 1989. The conference was cosponsored by the Chemical and Process Industries and the Statistics Divisions of the American Society for Quality Control and the Section on Physical and Engineering Sci...
متن کاملGrouped Data Exponentially Weighted Moving Average Control Charts
In the manufacture of metal fasteners in a progressive die operation, and other industrial situations, important quality dimensions cannot be measured on a continuous scale, and parts are classified into groups using a step gauge. This article proposes a version of exponentially weighted moving average (EWMA) control charts applicable to monitoring the grouped data for process shifts. The run l...
متن کاملEnhancing the Performance of Exponentially Weighted Moving Average Charts: Discussion
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...
متن کاملMultivariate Exponentially Weighted Moving Average Chart for Monitoring Poisson Observations∗
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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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2470938