The Improved EWMA Chart for Heteroscedasticity Process

Dan Zhou, Liu Liu and Xin Lai ()
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Dan Zhou: Sichuan Normal University
Liu Liu: Sichuan Normal University
Xin Lai: Xi’an Jiaotong University

Annals of Data Science, 2018, vol. 5, issue 1, No 3, 27 pages

Abstract: Abstract It is doubtful of the validity of the EWMA chart that the observations from heteroscedasticity processes violate the assumption of identical distribution. In this paper, we discuss the effect of heteroscedasticity on the performance of the conventional EWMA chart. Then we analyze the principle of the improved EWMA chart for monitoring heteroscedasticity processes. Then we compare the detection performance of the improved EWMA chart with the conventional EWMA chart by using a criteria based on average run length (ARL). Finally, an instance is given to indicate the effectiveness of the proposed method and analyze the best trading time of the stock.

Keywords: Heteroscedasticity; Conventional EWMA chart; Validity; Average run length (ARL); Instance verification (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40745-017-0133-0

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