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

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About: Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.wseas.org/multimedia/journals/mathematics/2014/a165706-502.pdf
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 and SDEs 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 time series of production processes and highlight versatility of control charts not only in manufacturing but also in managing financial cash flow stability. 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 and SDEs 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 time series of production processes and highlight versatility of control charts not only in manufacturing but also in managing financial cash flow stability. (en)
Title	Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations (en)
skos:prefLabel	Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations Identifying Change Point in Production Time-Series Volatility Using Control Charts and Stochastic Differential Equations (en)
skos:notation	RIV/70883521:28120/14:43872106!RIV15-MSM-28120___
http://linked.open...avai/riv/aktivita	V
http://linked.open...avai/riv/aktivity	V
http://linked.open...iv/cisloPeriodika	13
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Kovářík, Martin
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Tomáše Bati ve Zlíně / Fakulta managementu a ekonomiky
http://linked.open...dnocenehoVysledku	20379
http://linked.open...ai/riv/idVysledku	RIV/70883521:28120/14:43872106
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Autocorrelation, Change point, Control charts, Outliers, Stochastic Differential Equations (SDE), Average Run Length (ARL), Statistical Process Control (SPC) (en)
http://linked.open.../riv/klicoveSlovo	Autocorrelation Outliers Statistical Process Control (SPC) Control charts Average Run Length (ARL) Change point Stochastic Differential Equations (SDE)
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[D0E224BFF843]
http://linked.open...i/riv/nazevZdroje	WSEAS Transaction on mathematics
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	13
http://linked.open...iv/tvurceVysledku	Kovářík, Martin
issn	1109-2769
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	28120

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