In this paper simultaneous exponentially weighted moving average schemes for the mean and the variance of a financial time series are introduced. The target process is assumed to be a GARCH process. It is proved that in some cases the bivariate approach leads to a smaller out-of-control average run
A control chart for a general Gaussian process
β Scribed by Robert Lund; W.J. Padgett; Lynne Seymour
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 708 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0378-3758
No coin nor oath required. For personal study only.
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