PENERAPAN METODE EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) DALAM PENGUKURAN RISIKO INEVSTASI SAHAM PORTOFOLIO UNTUK VOLATILITAS HETEROGEN
نویسندگان
چکیده
منابع مشابه
Using exponentially weighted moving average (EWMA) charts
1. Unlike X -R and Individuals charts (without the Western Electric Handbook rules which aim to increase sensitivity), all of the data collected over time may be used to determine the control status of a process. 2. The EWMA is often superior to the CUSUM charting technique for detecting "larger" shifts. 3. EWMA schemes may be applied for monitoring standard deviations in addition to the proces...
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Monitoring medical outcomes is desirable to help quickly detect performance changes. Previous applications have focused mostly on binary outcomes, such as 30-day mortality after surgery. However, in many applications the survival time data are routinely collected. In this paper, we propose an updating exponentially weighted moving average (EWMA) control chart to monitor risk-adjusted survival t...
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In the manufacture of metal fasteners in a progressive die operation, and other industrial situations, important quality dimensions cannot be measured on a continuous scale, and parts are classified into groups using a step gauge. This article proposes a version of exponentially weighted moving average (EWMA) control charts applicable to monitoring the grouped data for process shifts. The run l...
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Editor’s Note: This article and the first two accompanying discussions were presented orally at the Technomeirics session of the 33rd Annual Fall Technical Conference in Houston, Texas, October 25-27. 1989. The conference was cosponsored by the Chemical and Process Industries and the Statistics Divisions of the American Society for Quality Control and the Section on Physical and Engineering Sci...
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Abbas et al. (Abbas N, Riaz M, Does RJMM. Enhancing the performance of EWMA charts. Quality and Reliability Engineering International 2011; 27(6):821–833) proposed the use of signaling schemes with exponentially weighted moving average charts (named as 2/2 and modified 2/3 schemes) for their improved design structures. A two-sided control structure of these schemes is given in the paper. The co...
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ژورنال
عنوان ژورنال: Jurnal Gaussian
سال: 2018
ISSN: 2339-2541
DOI: 10.14710/j.gauss.v7i3.26658