๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Control Charts for Weibull Processes With Standards Given

โœ Scribed by Nelson, Peter R.

Book ID
117934017
Publisher
IEEE
Year
1979
Tongue
English
Weight
863 KB
Volume
R-28
Category
Article
ISSN
0018-9529

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Control charts for GARCH processes
Control charts for GARCH processes
โœ S. Schipper; W. Schmid ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 509 KB

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