کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1148215 | 957825 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian monitoring of local residual autocorrelations taking into account the run-length
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper proposes new two-sided monitoring algorithms for detecting the presence of first order residual autocorrelations in Dynamic Normal Models. The methodology uses a Bayesian decision approach with loss function which takes into account the run-length of the process. The power and mean run-length of the proposed algorithms are analysed by Monte Carlo methods. The results obtained improve those corresponding to the monitoring algorithm for residual autocorrelations proposed in Gargallo and Salvador [2003. Monitoring residual autocorrelations in dynamic linear models. Comm. Statist. Simulation Comput. 32(4), 1079-1104.] with respect to the run-length, and also exhibit more homogeneous behaviour.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 12, 1 December 2008, Pages 3885-3898
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 12, 1 December 2008, Pages 3885-3898
نویسندگان
Manuel Salvador, Pilar Gargallo,