Performance Comparison of Bivariate Copulas on the CUSUM and EWMA Control Charts

被引：0

作者：

Kuvattana, Sasigarn ^{[1
]}

Sukparungsee, Saowanit ^{[1
]}

Busababodhin, Piyapatr ^{[2
]}

Areepong, Yupaporn ^{[1
]}

机构：

[1] King Mongkuts Univ Technol North Bangkok, Fac Sci Appl, Dept Appl Stat, Bangkok 10800, Thailand

[2] Mahasarakham Univ, Facultly Sci, Dept Math, Maha Sarakham 41150, Thailand

来源：

WORLD CONGRESS ON ENGINEERING AND COMPUTER SCIENCE, WCECS 2015, VOL II | 2015年

关键词：

Copula; ARL; MCUSUM; MEWMA; Monte Carlo simulation; INFERENCE; JOY;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This article proposes the comparison of control charts for bivariate copulas when observations are exponential distribution. The Monte Carlo simulation was used to investigate the value of Average Run Length (ARL) for in control and out-of-control process. The dependence of random variables were used and measured by Kendall's tau in each copula. The simulation results show that performance of MCUSUM control chart was similar to MEWMA control chart for almost all shifts.

引用

页码：853 / 857

页数：5

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