Change point estimation in the area of statistical process control has received considerable attentions in the recent decades because it helps process engineer to identify and remove assignable causes as quickly as possible. On the other hand, improving in measurement systems and data storage, lead to taking observations very close to each other in time and as a result increasing autocorrelatio...

We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are excessively optimistic in good times and excessively pessimistic in bad times. (ii) Asset prices are too volatile. (iii) Excess returns are ...

Control charts are used to determine whether or not a manufacturing or business process is in a state of statistical control. Various schemes of the standard (Shewhart) X chart for autocorrelated data at sample sizes of 2 and 3 are developed and compared with the schemes of the same chart for IID data at various process shifts in the process mean. It is clear from the comparison that the in-con...

One of the primary tools used in statistical quality control is the control charts. The standard assumptions that are usually cited in justifying the use of control charts are that the data generated by the in control process are independent and identically distributed. However the independency assumption is not realistic in practice. Data sets collected from industrial processes may have corre...

The CreditRisk+ model is one of the industry standards for valuation default risk in credit loans portfolios. calibration requires, inter alia, specification parameters describing structure dependence among events. This work addresses these parameters. In particular, we study procedure on sampling period rate time series, that might be different from horizon onto which used forecasting, as it o...

Multiple factors complicate the analysis of animal telemetry location data. Recent advancements address issues such as temporal autocorrelation and telemetry measurement error, but additional challenges remain. Difficulties introduced by complicated error structures or barriers to animal movement can weaken inference. We propose an approach for obtaining resource selection inference from animal...

Traditionally, the process capability index is developed assuming that the process output data are independent and follow normal distribution. However, in most environmental cases, the process data have more than one quality characteristic and exhibit property of autocorrelation. We propose two novel multivariate process capability indices for autocorrelated data, NMACp and NMACpm for the-nomin...

Quantifying animals' home ranges is a key problem in ecology and has important conservation and wildlife management applications. Kernel density estimation (KDE) is a workhorse technique for range delineation problems that is both statistically efficient and nonparametric. KDE assumes that the data are independent and identically distributed (IID). However, animal tracking data, which are routi...