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1. Guaranteed conditional ARL performance in the presence of autocorrelation

Author:
Weiß, Christian H.,   et al.   ; Steuer, Detlef; Jentsch, Carsten; Testik, Murat Caner;     Show all 4 Authors
Source:
Computational statistics & data analysis 2018 v.128 pp. 367-379
ISSN:
0167-9473
Subject:
autocorrelation; probability
Abstract:
... The Average Run Length (ARL) performance of a control chart conditional on parameter estimates from a Phase I study may deviate significantly from its designed performance. To circumvent this problem, the guaranteed conditional performance measure is proposed in the literature. Hence, one does not intend to reach a specified in-control ARL exactly, but to reach an ARL value greater than or equal t ...
DOI:
10.1016/j.csda.2018.07.013

2. A full ARMA model for counts with bounded support and its application to rainy-days time series

Author:
Weiß, Christian H.,   et al.   ; Gouveia, Sónia; Möller, Tobias A.; Scotto, Manuel G.;     Show all 4 Authors
Source:
Stochastic environmental research and risk assessment 2018 v.32 no.9 pp. 2495-2514
ISSN:
1436-3240
Subject:
data collection; models; statistical analysis; time series analysis; Russia
Abstract:
... Motivated by a large dataset containing time series of weekly number of rainy days collected over two thousand locations across Europe and Russia for the period 2000–2010, we propose a new class of ARMA-like model for time series of bounded counts, which can also handle extra-binomial variation. We abbreviate this model as bvARMA, as it is based upon a novel operation referred to as binomial varia ...
DOI:
10.1007/s00477-018-1584-3

3. Serial dependence of NDARMA processes

Author:
Weiß, Christian H.
Source:
Computational statistics & data analysis 2013 v.68 pp. 213-238
ISSN:
0167-9473
Subject:
entropy; models; statistics; time series analysis
Abstract:
... The NDARMA model is a discrete counterpart to the usual ARMA model, which can be applied to purely categorical processes. NDARMA processes are shown to be φ-mixing, so it is possible to find asymptotic expressions for the distribution of several types of statistics. Such asymptotic properties are useful for hypothesis testing or other inferential procedures. This is exemplified by considering the ...
DOI:
10.1016/j.csda.2013.07.009

4. Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion

Author:
Weiß, Christian H.,   et al.   ; Schweer, Sebastian;     Show all 2 Author
Source:
Computational statistics & data analysis 2014 v.77 pp. 267-284
ISSN:
0167-9473
Subject:
models; time series analysis
Abstract:
... The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly mixing with exponentially decreasing weights. This result is utilized to design a test for overdispersion ...
DOI:
10.1016/j.csda.2014.03.005