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Misleading signals in simultaneous residual schemes for the process mean and variance of AR(1) processes: a stochastic ordering approach

Ramos, Patrícia F.; Morais, M. C. ; Pacheco, António; Schmid, W.

Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, Springer Berlin Heidelberg, (2013), 91–100
http://dx.doi.org/10.1007/978-3-642-34904-1_18

Assessing the performance of simultaneous schemes for the process mean and variance requires the use of the probability of misleading signals (PMS). This chapter discusses the impact of autocorrelation on the PMS of simultaneous Shewhart and EWMA residual schemes for the mean and the variance of a stationary autoregressive process of order 1, AR(1). The assessment of this impact is done numerically and by means of stochastic ordering.