Control charts based on generalized likelihood ratio test (GLRT) are attractive from both theoretical and practical points of view.Most of the existingworks in the literature focusing on the detection of the process mean and variance are almost based on the assumption that the shifts remain constant over time. The case of the patterned mean and variance changes may not be well discussed. In thi...

Most SPC approaches for detecting the process variance assume that it remains constant over time. However, these approaches may not be well handled with the case in which patterned changes exist. In this paper, we propose a new control chart which integrates EWMA procedure with generalized likelihood ratio (GLR) test statistics for monitoring patterned variance shifts. It can be easily designed...

This paper investigates the effects of consistent and inconsistent long-run variance estimation on a unit root test based on the generalization of the von Neumann ratio. The results from the Monte Carlo experiments suggest that the tests based on an inconsistent estimator have less size distortion and more stability of size across different autocorrelation speciÞcations as compared to the tests...

In this paper we propose a test statistic to discriminate between models with nite variance and models with in nite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and nite sample properties of the test statistic are discussed. We show that the test has good power properties against in nite-variance distributions and...

In this paper we propose a test statistic to discriminate between models with finite variance and models with infinite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and finite sample properties of the test statistic are discussed. We show that the test has good power properties against infinite-variance distributio...