Monitoring processes with changing variances
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- J. Keith Ord, 2008. "Monitoring Processes with Changing Variances," Working Papers 2008-004, The George Washington University, Department of Economics, Research Program on Forecasting.
- J. Keith Ord & Rob J. Hyndman & Anne B. Koehler & Ralph D. Snyder, 2008. "Monitoring Processes with Changing Variances," Monash Econometrics and Business Statistics Working Papers 4/08, Monash University, Department of Econometrics and Business Statistics.
References listed on IDEAS
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- Cohen, Jacqueline & Garman, Samuel & Gorr, Wilpen, 2009. "Empirical calibration of time series monitoring methods using receiver operating characteristic curves," International Journal of Forecasting, Elsevier, vol. 25(3), pages 484-497, July.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chen, Yikai & Corr, David J. & Durango-Cohen, Pablo L., 2014. "Analysis of common-cause and special-cause variation in the deterioration of transportation infrastructure: A field application of statistical process control for structural health monitoring," Transportation Research Part B: Methodological, Elsevier, vol. 59(C), pages 96-116.
More about this item
KeywordsControl charts GARCH Heteroscedasticity Innovations State space Statistical process control;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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