Through empirical research is identified that the hypothesis of normal distribution of returns is no longer observed while verifying the existence of heavy tails and asymmetries in the distribution. Thus, the article has aimed empirically apply copula models using techniques of realized volatility (HAR) with high-frequency data and perform the calculation of Value at Risk for different periods....

The Multivariate EWMA control chart, MEWMA, Lowry, Woodall, Champ and Ridgon [1] and its univariate version EWMA, may be designed to efficiently detect small shifts in the mean vector of a set of p quality characteristics of a production process. However, this work presents a method for the optimal design of MEWMA and EWMA charts parameters to control processes where it is not convenient to det...

The control chart is a very popular tool of statistical process control. It is used to determine the existence of special cause variation to remove it so that the process may be brought in statistical control. Shewhart-type control charts are sensitive for large disturbances in the process, whereas cumulative sum (CUSUM)–type and exponentially weighted moving average (EWMA)–type control charts ...

The “predictor-corrector” feedback controller, a process adjustment scheme proposed for semiconductor manufacturing run-to-run processes that drift, is extended to the multiple input–multiple output case. The controller is based on two coupled multivariate exponentially-weighted-moving-average (EWMA) equations, thus its performance depends on the choices of EWMA weight matrices. Stability condi...

Control chart is the most important Statistical Process Control (SPC) tool used to monitor reliability and performance of manufacturing processes. Variability EWMA charts are widely used for the detection of small shifts in process dispersion. For ease in computation all the variability EWMA charts proposed so far are based on asymptotic nature of control limits. It has been shown in this study...

Structural change is a major source of forecast failure. Immediately after a break, forecasting problems are particularly severe due to a lack of information about the new data generation process. Techniques exist for monitoring for structural change in real time, but the optimal post-break strategy is unexplored. We consider two approaches. First, monitoring for change and then combining forec...

background : there are few published studies that use real data testing to examine the performance of outbreak detection methods. the aim of this study was to determine the performance of the exponentially weighted moving average (ewma) in real time detection of a local outbreak in mashhad city, eastern iran . methods : the ewma algorithms (both ewma 1 with λ=0.3 and ewma 2 with λ=0.6) were app...

This work presents a comparative study of the performance of the cumulative sum (CuSum), as well as the exponentially weighted moving average (EWMA) control charts. The objective of this research is to verify when CuSum and EWMA control charts do the best control region, in order to detect small changes in the process average. Starting from the data of a productive process, several series were ...

This work presents an exponentially weighted moving average (EWMA)-based synthesised control scheme for a process with outliers. Based on experience, some processes occasionally have outliers. The use of traditional mean ( X ) and range (R) control charts (denoted as X=R) for monitoring process mean and variance leads to high-level false alarms. In this study, the fast-detection technique (EWMA...