{"title":"Statistical process monitoring for vector autoregressive time series based on location-scale CUSUM method","authors":"Sangjo Lee, Sangyeol Lee","doi":"10.1080/08982112.2022.2156295","DOIUrl":null,"url":null,"abstract":"Abstract In this study, we design a monitoring method for the vector autoregressive (VAR) and structural VAR (SVAR) time series using the residual-based cumulative sum (CUSUM) control chart. The residuals are calculated with a sequentially observed testing sample and the parameter estimates obtained from a training sample. Control limits are determined asymptotically when type 1 error probability scheme is used, but average run length (ARL) is also used in our empirical study. For the SVAR time series, independent component analysis (ICA) method is applied. A simulation study and real data analysis are conducted to evaluate our method.","PeriodicalId":20846,"journal":{"name":"Quality Engineering","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2022-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quality Engineering","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1080/08982112.2022.2156295","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ENGINEERING, INDUSTRIAL","Score":null,"Total":0}
引用次数: 1
Abstract
Abstract In this study, we design a monitoring method for the vector autoregressive (VAR) and structural VAR (SVAR) time series using the residual-based cumulative sum (CUSUM) control chart. The residuals are calculated with a sequentially observed testing sample and the parameter estimates obtained from a training sample. Control limits are determined asymptotically when type 1 error probability scheme is used, but average run length (ARL) is also used in our empirical study. For the SVAR time series, independent component analysis (ICA) method is applied. A simulation study and real data analysis are conducted to evaluate our method.
期刊介绍：
Quality Engineering aims to promote a rich exchange among the quality engineering community by publishing papers that describe new engineering methods ready for immediate industrial application or examples of techniques uniquely employed.
You are invited to submit manuscripts and application experiences that explore:
Experimental engineering design and analysis
Measurement system analysis in engineering
Engineering process modelling
Product and process optimization in engineering
Quality control and process monitoring in engineering
Engineering regression
Reliability in engineering
Response surface methodology in engineering
Robust engineering parameter design
Six Sigma method enhancement in engineering
Statistical engineering
Engineering test and evaluation techniques.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
