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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

WSEAS Transaction on mathematics

ISSN

1109-2769

e-ISSN

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Svazek periodika

13

Číslo periodika v rámci svazku

13

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

10

Strana od-do

747-756

Kód UT WoS článku

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EID výsledku v databázi Scopus

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