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Identifying change point in production time-series volatility using control charts and stochastic differential equations

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dc.title Identifying change point in production time-series volatility using control charts and stochastic differential equations en
dc.contributor.author Kovářík, Martin
dc.relation.ispartof WSEAS Transactions on Mathematics
dc.identifier.issn 1109-2769 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2014
utb.relation.volume 13
dc.citation.spage 747
dc.citation.epage 756
dc.type article
dc.language.iso en
dc.publisher World Scientific and Engineering Academy and Society (WSEAS)
dc.relation.uri http://wseas.org/wseas/cms.action?id=7654
dc.subject Autocorrelation en
dc.subject Average Run Length (ARL) en
dc.subject Change point en
dc.subject Control charts en
dc.subject Outliers en
dc.subject Statistical Process Control (SPC) en
dc.subject Stochastic Differential Equations (SDE) en
dc.description.abstract The article focuses on volatility change point detection using SPC (Statistical Process Control) methods, specifically time-series control charts and stochastic differential equations (SDEs). Contribution will review recent advances in change point detection for the volatility component of a process satisfying stochastic differential equation (SDE) based on discrete observations, and also by using time-series control charts. Theoretical part will discuss methodology of time-series control charts and SDEs driven by a Brownian motion. Research part will demonstrate the methodologies in a simulation study focusing on analysis of the AR(1) process by means of time-series control charts and SDEs. The aim is to make use of change point detection in time series of production processes and highlight versatility of control charts not only in manufacturing but also in managing financial cash flow stability. © 2014, World Scientific and Engineering Academy and Society. All rights reserved. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1006225
utb.identifier.obdid 43872418
utb.identifier.scopus 2-s2.0-84927556561
utb.source j-scopus
dc.date.accessioned 2016-04-28T10:38:08Z
dc.date.available 2016-04-28T10:38:08Z
dc.rights.access openAccess
utb.contributor.internalauthor Kovářík, Martin
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