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Performance of control charts for autoregressive conditional heteroscedastic processes

Author

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  • Yue Fang
  • John Zhang

Abstract

This paper examines the robustness of control schemes to data conditional heteroscedasticity. Overall, the results show that the control schemes which do not account for heteroscedasticity fail in providing reliable information on the status of the process. Consequently, incorrect conclusions will be drawn by applying these procedures in the presence of data conditional heteroscedasticity. Control charts with time-varying control limits are shown to be useful in that context.

Suggested Citation

  • Yue Fang & John Zhang, 1999. "Performance of control charts for autoregressive conditional heteroscedastic processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(6), pages 701-714.
    • Handle: RePEc:taf:japsta:v:26:y:1999:i:6:p:701-714
    DOI: 10.1080/02664769922142
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    References listed on IDEAS

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    Cited by:

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