When using derivative instruments such as futures in order to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio, which can be estimated by regressing the spot market return on the futures market return u...

BACKGROUND Statistical process control (SPC), an industrial sphere initiative, has recently been applied in health care and public health surveillance. SPC methods assume independent observations and process autocorrelation has been associated with increase in false alarm frequency. METHODS Monthly mean raw mortality (at hospital discharge) time series, 1995-2009, at the individual Intensive ...

The exponentially weighted moving average (EWMA) control chart is a memory-type known to be more efficient in detecting small and moderate shifts the process parameter. double EWMA (DEWMA) an extension of that effective than latter detection small-to-moderate shifts. This paper proposes new distribution-free (or nonparametric) triple (TEWMA) based on Wilcoxon rank-sum (W) statistic improve abil...

In many applications the shift directions of observation vectors are limited, which allows focusing detection power on a limited subspace with improved sensitivity. This paper develops a new multivariate nonparametric statistical process control chart for monitoring location parameters, which is based on integrating a directional multivariate spatial-sign test and exponentially weighted moving ...

Control charts are one of the tools in statistical process control widely used for monitoring, measuring, controlling, improving quality, and detecting problems processes various fields. The average run length (ARL) can be to determine efficacy a chart. In this study, we develop new modified exponentially weighted moving (EWMA) chart derive explicit formulas both two-sided ARLs p-order autoregr...

Porcine reproductive and respiratory syndrome virus (PRRSv) causes substantial economic impact due to significant losses in productivity. Thus, measuring changes in farm productivity before and after PRRS infection enables quantifying the production and economic impact of outbreaks. This study assessed the application of exponentially weighted moving average (EWMA), a statistical process contro...

Objetivo: Diseñar una red neuronal recurrente LSTM para predecir el valor promedio de la variable temperatura y evaluar así, capacidad obtener valores similares a los cálculos del móvil ponderado EWMA mediciones individuales.
 Metodología: Se obtuvieron 1768 registros individuales realizadas por un sensor, en conjunto datos denominado: Gas sensors for home activity monitoring data set. Los...

The reliability data is getting used to monitor and improve the quality of products or services. Nowadays, most of products or services are the results of processes with dependent stages referred to as multi-stage process. In these processes, the quality characteristics are affected by the quality characteristics in the previous stages, called as cascade property. In some cases, it is not possi...