On the run length of a Shewhart chart for correlated data

We consider an extension of the classical Shewhart control chart to correlated data which was introduced by Vasilopoulos/Stamboulis (1978). Inequalities for the moments of the run length are given under weak conditions. It is proved analytically that the average run length (ARL) in the in-control state of the correlated process is larger than that in the case of independent variables. The exact ARL is calculated for exchangeable normal variables and autoregressive processes (AR). Moreover, we compare this chart with residual charts. Especially, in the case of an AR(1)—process with positive coefficient, it turns out that the out-of-control ARL of the modified Shewhart chart is smaller than that of the Shewhart chart for the residuals.     

Integration of business process management and knowledge management: state of the art,current research and future prospects

The integration of business process management (BPM) and knowledge management (KM) helps companies to improve temporal, qualitative and cost aspects of the provision of goods and services and to increase their innovative capacities. There are numerous publications in German and English that deal with the integration of both of these management approaches. By means of a comprehensive examination of this literature, the present article evaluates the state of knowledge and identifies additional research needs. More specifically, the volume of the publications examined is evaluated and classified by means of appropriate and carefully defined criteria. Moreover, the contents of the classes thus defined will be elucidated and then critically discussed. Finally, this article provides a general review of current approaches and their specific merits, and it will demonstrate the current deficits and spheres of activity in relation to the integration of BPM and KM.     

Bayesian estimation of the efficient frontier

In this paper, we consider the estimation of the three determining parameters of the efficient frontier, the expected return, and the variance of the global minimum variance portfolio and the slope parameter, from a Bayesian perspective. Their posterior distribution is derived by assigning the diffuse and the conjugate priors to the mean vector and the covariance matrix of the asset returns and is presented in terms of a stochastic representation. Furthermore, Bayesian estimates together with the standard uncertainties for all three parameters are provided, and their asymptotic distributions are established. All obtained findings are applied to real data, consisting of the returns on assets included into the S&P 500. The empirical properties of the efficient frontier are then examined in detail.     

‘Occupation Children’ in Germany after World War II — Problems and Coping Strategies

The article focuses on the autobiographical memories of people born in Germany after the Second World War, whose mothers were local women and whose fathers were members of the allied forces. Based on the analysis of narrative interviews, we ask how these people experienced their growing up and their sociocultural environment in the post‐war era, and what kind of coping strategies they developed to deal with adverse living conditions.     

Interkulturelles Coaching – eine komplexe,systemische Herausforderung

Intercultural coaching takes place in the highly complex reality of a globalized world. The coachee is an individual acting in the situational context of his assignment and his corporate culture. He has been socialized in his own culture, but is communicating and interacting with people who have been socialized in different cultures. In order to identify and solve problems, all three aspects (person, situation, culture) have to be considered. Some aspects may have more influence than others may, but they combine in a closely interwoven system. The authors outline the theoretical background of intercultural coaching and illustrate the process with case studies.     

Monitoring means and covariances of multivariate non linear time series with heavy tails

In this paper, the focus is on sequential analysis of multivariate financial time series with heavy tails. The mean vector and the covariance matrix of multivariate non linear models are simultaneously monitored by modifying conventional control charts to identify structural changes in the data. The considered target process is a constant conditional correlation model (cf. Bollerslev, 1990 Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Rev. Econ. Stat. 72:498–505.[Crossref], [Web of Science ®] , [Google Scholar]), an extended constant conditional correlation model (cf. He and Teräsvirta, 2004 He, C., Teräsvirta, T. (2004). An extended constant conditional correlation GARCH model and its fourth-moment structure. Economet. Theory 20:904–926.[Crossref], [Web of Science ®] , [Google Scholar]), a dynamic conditional correlation model (cf. Engle, 2002 Engle, R.F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. J. Bus. Econ. Stat. 20(3):339–350.[Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]), or a generalized dynamic conditional correlation model (cf. Capiello et al., 2006 Capiello, L., Engle, R., Sheppard, K. (2006). Asymmetric correlations in the dynamics of global equity and bond returns. J. Financial Economet. 4(4):537–572.[Crossref] , [Google Scholar]). For statistical surveillance we use control charts based on residuals. Further, the procedures are constructed for t-distribution. The detection speed of these charts is compared via Monte Carlo simulation. In the empirical study, the procedure with the best performance is applied to log-returns of the stock market indices FTSE and CAC.     

Public opinion surveys as guides to public policy and spending

Public opinion surveys purport to express the public's opinion. The literature on survey techniques has, however, recognized various potential limitations to the validity of survey results. While improved survey methodology may reduce statistical bias and improve validity, it cannot avoid the implicit weighting of preferences. This normative aspect of surveying has often been unrecognized or disguised as a purely technical matter. Such things as sample selection, choice of survey instrument and the method of aggregating results will each contribute to a pattern of preference weights. Several common survey techniques are examined in this light. It is proposed that no single ‘correct’ method of preference aggragation exists. Increased public recognition of, and debate on this normative aspect of surveying is recommended.     

Widowhood and spirituality: coping responses to bereavement

Nearly half of women age 65 or older are widows and nearly 70% of these women live alone. Because older women are three times more likely than their male counterparts to be widowed, widowhood has been labeled a primarily female phenomenon. This review article has two aims: (a) to discuss the impact of widowhood on the lives of older women and (b) to discuss how religion and spirituality may be used as coping methods for conjugal loss. After reviewing the literature the authors conclude that older women use religious coping as well as religious and spiritual beliefs and behaviors to facilitate positive adjustment to the loss of a spouse.     

Comparison of different estimation techniques for portfolio selection

The main problem in applying the mean-variance portfolio selection consists of the fact that the first two moments of the asset returns are unknown. In practice the optimal portfolio weights have to be estimated. This is usually done by replacing the moments by the classical unbiased sample estimators. We provide a comparison of the exact and the asymptotic distributions of the estimated portfolio weights as well as a sensitivity analysis to shifts in the moments of the asset returns. Furthermore we consider several types of shrinkage estimators for the moments. The corresponding estimators of the portfolio weights are compared with each other and with the portfolio weights based on the sample estimators of the moments. We show how the uncertainty about the portfolio weights can be introduced into the performance measurement of trading strategies. The methodology explains the bad out-of-sample performance of the classical Markowitz procedures.     

Nonparametric estimation of the lower tail dependence λL in bivariate copulas

The lower tail dependence λ_L is a measure that characterizes the tendency of extreme co-movements in the lower tails of a bivariate distribution. It is invariant with respect to strictly increasing transformations of the marginal distribution and is therefore a function of the copula of the bivariate distribution. λ_L plays an important role in modelling aggregate financial risk with copulas. This paper introduces three non-parametric estimators for λ_L. They are weakly consistent under mild regularity conditions on the copula and under the assumption that the number k = k(n) of observations in the lower tail, used for estimation, is asymptotically k ≈ √n. The finite sample properties of the estimators are investigated using a Monte Carlo simulation in special cases. It turns out that these estimators are biased, where amount and sign of the bias depend on the underlying copula, on the sample size n, on k, and on the true value of λ_L.