Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F14%3A43872106" target="_blank" >RIV/70883521:28120/14:43872106 - isvavai.cz</a>

Result on the web

<a href="http://www.wseas.org/multimedia/journals/mathematics/2014/a165706-502.pdf" target="_blank" >http://www.wseas.org/multimedia/journals/mathematics/2014/a165706-502.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations

Original language description

The article focuses on volatility change point detection using SPC (Statistical Process Control) meth- ods, 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 differen- tial equation (SDE) based on discrete observations, and also by using time-series control charts. Theoretical part will discuss methodology of time-series control charts andSDEs 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 timeseries of production processes and highlight versatility of control charts not only in manufacturing but also in managing financial cash flow stability.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

WSEAS Transaction on mathematics

ISSN

1109-2769

e-ISSN

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Volume of the periodical

13

Issue of the periodical within the volume

13

Country of publishing house

US - UNITED STATES

Number of pages

10

Pages from-to

747-756

UT code for WoS article

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EID of the result in the Scopus database

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