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Prediction Based On Time Series. Applications In Quality Control

Author

Listed:
  • Isaic Maniu, Alexandru

    () (The Academy of Economic Studies, Bucharest)

  • Voda, Viorel Gh.

    (“Gheorghe Mihoc - Caius Iacob” Institute of Mathematic Statistics and Applied Mathematics of the Romanian Academy, Bucharest.)

Abstract

In this paper we propose a prediction model based on time series involving EWMA type approach. After a brief historical sketch and a short presentation of the GLM - General Linear Model we construct the predictor which is an average exponentially weighted depending on previous and current values of the series. The last paragraph is dedicated to an analogy with SPC - Statistical Process Control and possible applications are emphasized. Open theoretical problems are discussed also.

Suggested Citation

  • Isaic Maniu, Alexandru & Voda, Viorel Gh., 2010. "Prediction Based On Time Series. Applications In Quality Control," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 70-80, March.
  • Handle: RePEc:rjr:romjef:v::y:2010:i:1:p:70-80
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    References listed on IDEAS

    as
    1. Claudio Borio, 2008. "The financial turmoil of 2007-?: a preliminary assessment and some policy considerations," BIS Working Papers 251, Bank for International Settlements.
    2. Besancenot, Damien & Vranceanu, Radu, 2005. "Socially Efficient Managerial Dishonesty," ESSEC Working Papers DR 05005, ESSEC Research Center, ESSEC Business School.
    3. Rochet, Jean-Charles & Tirole, Jean, 1996. "Interbank Lending and Systemic Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 733-762, November.
    4. Tito Cordella & Eduardo Levy Yeyati, 1998. "Public Disclosure and Bank Failures," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 110-131, March.
    5. repec:bla:joares:v:34:y:1996:i:1:p:1-22 is not listed on IDEAS
    6. Altman, Edward I, 1984. " A Further Empirical Investigation of the Bankruptcy Cost Question," Journal of Finance, American Finance Association, vol. 39(4), pages 1067-1089, September.
    7. Diamond, Douglas W & Verrecchia, Robert E, 1991. " Disclosure, Liquidity, and the Cost of Capital," Journal of Finance, American Finance Association, vol. 46(4), pages 1325-1359, September.
    8. repec:bla:joares:v:34:y:1996:i::p:51-74 is not listed on IDEAS
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    More about this item

    Keywords

    time series; EWMA; GLM; SPC; predictor white noise; correction factor;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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