Spc for Quality and Risk

ISBN-13: 9783846534694 / Angielski / Miękka / 2012 / 292 str.

Xia Pan

Opis

This study attempts to improve the statistical process control (SPC) methods and introduce SPC methods into risk control. Several contributions were made in this study. A correct bias correction coefficient with unequal sample sizes for Shewhart chart was given. The concordance of Shewhart mean and variability pair charts was suggested. Box-Ramerez Cuscore chart was extended to monitor coefficients of ARMA residuals. Vector autoregressive (VAR) chart was studied in details. Vector moving average (VMA) chart with EWMA on processes was proposed. Numerical analysis with integral equation for average run length of multivariate EWMA (M-EWMA) chart was computed. Vector valued state-space model was also applied for general processes. Finally, Lamda chart for monitoring higher moments was discussed. Monitoring higher moments was justified to be useful in Value-at-Risk implementation. Augmented Hull-White (AHW) model was suggested to capture the higher moments of risk factors. The goodness-of-fit chart was proposed as an SPC scheme to monitor the higher moments. Based on AHW model, the relationship between the stock market return and its conditional variation was tested.

O autorze

Dr. Xia Pan received his Ph.D. in Business Administration from University of Rhode Island, USA. He has academic background in electronic engineering and industrial background in international business. His research and teaching interests include operations management and finance, especially the interface between the two fields.