The concept of Value-at-Risk is described. We discuss how this risk characteristic can be used for supervision and for internal control. Several parametric and non-parametric methods to measure Value-at-Risk are discussed. The non-parametric approach is represented by historical simulations and Monte-Carlo methods. Variance covariance and some analytical models are used to demonstrate the param...

In many applications the shift directions of observation vectors are limited, which allows focusing detection power on a limited subspace with improved sensitivity. This paper develops a new multivariate nonparametric statistical process control chart for monitoring location parameters, which is based on integrating a directional multivariate spatial-sign test and exponentially weighted moving ...

A simulation study was conducted to address the issue of how purely additive (simple) genetic architecture might impact on the efficacy of parametric and non-parametric genomic prediction methods. For this purpose, we simulated a trait with narrow sense heritability h2= 0.3, with only additive genetic effects for 300 loci in order to compare the predictive ability of 14 more practically used ge...

when a change occurs in a process, one expects to receive a signal from a control chart as quickly as possible. upon the receipt of signal from the control chart a search for identifying the source of disturbance begins. however, searching for assignable cause around the signal time, due to the fact that the disturbance may have manifested itself into the rocess sometimes back, may not always l...

Traditionally, the statistical quality control techniques utilize either an attributes or variables product quality measure. Recently, some methods such as three-level control chart have been developed for monitoring multi attribute processes. Control chart usually has three design parameters: the sample size (n), the sampling interval (h) and the control limit coefficient (k).The design parame...

the most well-known uni-arribute control chart used to monitor the number of nonconformities per unit is the shewhart type c-chart. in this paper, a new method is proposed in an attempt to reduce the false alarm rate in the c-chart. to do this, the decision on beliefs (dob) concept is first uti [1] corresponding author e-mail: [email protected]   lized to design an iterat...

The common consideration on economic model is that there is knowledge about the risk of occurrence of an assignable cause and the various cost parameters that does not always adequately describe what happens in practice. Hence, there is a need for more realistic assumptions to be incorporated. In order to reduce cost penalties for not knowing the true values of some parameters, this paper aims ...

one of the most important goals for researchers in the clinic is to try to find newer and more effective ways to diagnose and cure the diseases. these clinical advances can create new points of view in other sciences and their combination with basic sciences such as statistics can improve these researches. in statistical genetics, linkage analysis is a way of finding the exact locus of a diseas...

Usually, in monitoring a proportion p < /em>, the binary observations are considered independent; however, in many real cases, there is a continuous stream of autocorrelated binary observations in which a two-state Markov chain model is applied with first-order dependence. On the other hand, the Bernoulli CUSUM control chart which is not robust to autocorrelation can be applied two-sided co...

This paper is concerned witl). "a problem in which a firm is engaged in manufacturing a number of types and sizes of goods at equal intervals, e. g. monthly, and the production is forced to fulfill the customer's demand immediately. In general the products are subject to considerable variations in demands. Let us assume that the amount demanded is uncertain but has a certain probability distrib...