A proper monitoring of stochastic systems is the control charts of statistical process control and drift in characteristics of output may be due to one or several assignable causes. Although much research has been done on the design of control charts, the economic statistical design of the T2 control chart under the Weibull shock model with multiple assignable causes has not yet been addressed. Therefore, we tried to deal with it in this paper and thus we developed a cost model based on the variable sampling interval. We also give an example to support the practical use of T2 chart under the Weibull shock model with multiple assignable causes. Based on the optimization of the average cost per unit of time and taking into account the different combination values of Weibull distribution parameters, optimal values of design parameters were derived and calculated. Then, the cost models under the influence of single assignable cause and multiple assignable causes under the same cost and time parameters were compared. Also, a sensitivity analysis was conducted in which the variability of loss cost and design parameters due to change of cost and time and Weibull distribution parameters were evaluated. 相似文献
We show that the Lagrange multiplier (LM) unit root test exhibits size distortions when a break in the innovation variance exists but is ignored. We develop a modified LM unit root test that is based on a generalized least-squares transformation of the original series. The asymptotic null distribution of the new modified LM unit root test is derived. Finite-sample simulation evidence shows that the modified LM unit root test maintains its size and has reasonable power against the trend stationary alternative. 相似文献
In this paper, we consider the linear autoregressive model with varying coefficients θn∈[0,1). When θn tending to the unit root, the moderate deviation principle for empirical covariance is discussed, and as statistical applications, we provide the moderate deviation estimates of the least square and the Yule–Walker estimators of the parameter θn. 相似文献
In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts. 相似文献
Structural breaks in the level as well as in the volatility have often been exhibited in economic time series. In this paper, we propose new unit root tests when a time series has multiple shifts in its level and the corresponding volatility. The proposed tests are Lagrangian multiplier type tests based on the residual's marginal likelihood which is free from the nuisance mean parameters. The limiting null distributions of the proposed tests are the χ2distributions, and are affected not by the size and the location of breaks but only by the number of breaks.
We set the structural breaks under both the null and the alternative hypotheses to relieve a possible vagueness in interpreting test results in empirical work. The null hypothesis implies a unit root process with level shifts and the alternative connotes a stationary process with level shifts. The Monte Carlo simulation shows that our tests are locally more powerful than the OLSE-based tests, and that the powers of our tests, in a fixed time span, remain stable regardless the number of breaks. In our application, we employ the data which are analyzed by Perron (1990), and some results differ from those of Perron's (1990). 相似文献
ABSTRACTWe consider the use of modern likelihood asymptotics in the construction of confidence intervals for the parameter which determines the skewness of the distribution of the maximum/minimum of an exchangeable bivariate normal random vector. Simulation studies were conducted to investigate the accuracy of the proposed methods and to compare them to available alternatives. Accuracy is evaluated in terms of both coverage probability and expected length of the interval. We furthermore illustrate the suitability of our proposals by means of two data sets, consisting of, respectively, measurements taken on the brains of 10 mono-zygotic twins and measurements of mineral content of bones in the dominant and non-dominant arms for 25 elderly women. 相似文献