The ARL of modified Shewhart control charts for conditionally heteroskedastic models-Reference-Cited by-同舟云学术

The ARL of modified Shewhart control charts for conditionally heteroskedastic models

Published:2011-10-20 Issue:1 Volume:54 Page:1-19
ISSN:0932-5026
Container-title:Statistical Papers
language:en
Short-container-title:Stat Papers

Author:

Gonçalves Esmeralda,Leite Joana,Mendes-Lopes Nazaré

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00362-011-0408-z.pdf

Reference9 articles.

1. Engle RF (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50: 987–1007

2. Gonçalves E, Mendes-Lopes N (1994) The generalized threshold ARCH model: wide sense stationarity and asymptotic normality of the temporal aggregate. Pub Inst Stat Univ Paris XXXVIII: 19–35

3. Gonçalves E, Mendes-Lopes N (2007) On the distribution of generalized threshold ARCH stochastic processes. Int J Pure Appl Math 35: 397–419

4. Pawlak M, Schmid W (2001) On the distributional properties of GARCH processes. J Time Ser Anal 22: 339–352

5. Schmid W (1995) On the run length of a Shewhart chart for correlated data. Stat Papers 36: 111–130

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