Double Moving Average Control Chart for Time Series Data with Poisson INARCH(1)

Q3 Economics, Econometrics and Finance

WSEAS Transactions on Business and Economics Pub Date : 2024-02-23 DOI:10.37394/23207.2024.21.58

S. Phantu, Y. Areepong, S. Sukparungsee

引用次数: 0

Abstract

The objectives of this research are to find the explicit formulas of the average run length (ARL) of a double moving average (DMA) control chart for first-order integer-valued autoregressive conditional heteroscedasticity (INARCH1))) of Poisson count data. In addition, the numerical results obtained from the proposed explicit formulas are compared with those obtained from Monte Carlo simulations (MC) for the Poisson INARCH(1) counting process. An out-of-control ARL (ARL1) is the criteria for measuring the performance of control charts. The numerical results found that the values of both ARL0 and ARL1 obtained from explicit formulas agree with the numerical results obtained from the Monte Carlo simulation (MC), but the latter is very timeconsuming.

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带有泊松 INARCH(1) 的时间序列数据的双移动平均控制图

本研究的目的是找到泊松计数数据的一阶整数值自回归条件异方差（INARCH1））双移动平均（DMA）控制图的平均运行长度（ARL）的显式公式。此外，还将所提出的显式公式得出的数值结果与蒙特卡罗模拟（MC）得出的泊松 INARCH(1) 计数过程的数值结果进行了比较。失控 ARL（ARL1）是衡量控制图性能的标准。数值结果表明，从显式公式中得到的 ARL0 和 ARL1 值与蒙特卡罗模拟（MC）得到的数值结果一致，但后者非常耗时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

WSEAS Transactions on Business and Economics Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.50

自引率

0.00%

发文量

180

期刊介绍： WSEAS Transactions on Business and Economics publishes original research papers relating to the global economy. We aim to bring important work using any economic approach to a wide international audience and therefore only publish papers of exceptional scientific value that advance our understanding of finances. The research presented must transcend the limits of case studies, while both experimental and theoretical studies are accepted. While its main emphasis is economic, it is a multi-disciplinary journal and therefore its content mirrors the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. It also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations.