A synthetic control chart for monitoring the process mean and variance

Purpose - The aim of this paper is to present a synthetic chart based on the non-central chi-square statistic that is operationally simpler and more effective than the joint X̄ and R chart in detecting assignable cause(s). This chart will assist in identifying which (mean or variance) changed due to the occurrence of the assignable causes. Design/methodology/approach - The approach used is based on the non-central chi-square statistic and the steady-state average run length (ARL) of the developed chart is evaluated using a Markov chain model. Findings - The proposed chart always detects process disturbances faster than the joint X̄ and R charts. The developed chart can monitor the process instead of looking at two charts separately. Originality/value - The most important advantage of using the proposed chart is that practitioners can monitor the process by looking at only one chart instead of looking at two charts separately. © Emerald Group Publishing Limted.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Preliminary results concerning the VSS X- chart with unknow in-control parameters

The VSS X- chart is known to perform better than the traditional X- control chart in detecting small to moderate mean shifts in the process. Many researchers have used this chart in order to detect a process mean shift under the assumption of known parameters. However, in practice, the process parameters are rarely known and are usually estimated from an in-control Phase I data set. In this paper, we evaluate the (run length) performances of the VSS X- control chart when the process parameters are estimated and we compare them in the case where the process parameters are assumed known. We draw the conclusion that these performances are quite different when the shift and the number of samples used during the phase I are small. ©2010 IEEE.

Informação e Critério de Relevância:podem as máquinas aprender a diferenciar contextos?

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

An adaptive chart for monitoring the process mean and variance

Traditionally, an (X) over bar chart is used to control the process mean and an R chart is used to control the process variance. However, these charts are not sensitive to small changes in the process parameters. The adaptive ($) over bar and R charts might be considered if the aim is to detect small disturbances. Due to the statistical character of the joint (X) over bar and R charts with fixed or adaptive parameters, they are not reliable in identifing the nature of the disturbance, whether it is one that shifts the process mean, increases the process variance, or leads to a combination of both effects. In practice, the speed with which the control charts detect process changes may be more important than their ability in identifying the nature of the change. Under these circumstances, it seems to be advantageous to consider a single chart, based on only one statistic, to simultaneously monitor the process mean and variance. In this paper, we propose the adaptive non-central chi-square statistic chart. This new chart is more effective than the adaptive (X) over bar and R charts in detecting disturbances that shift the process mean, increase the process variance, or lead to a combination of both effects. Copyright (c) 2006 John Wiley & Sons, Ltd.

Monitoring process mean and variability with one non-central chi-square chart

Traditionally, an (X) over bar -chart is used to control the process mean and an R-chart to control the process variance. However, these charts are not sensitive to small changes in process parameters. A good alternative to these charts is the exponentially weighted moving average (EWMA) control chart for controlling the process mean and variability, which is very effective in detecting small process disturbances. In this paper, we propose a single chart that is based on the non-central chi-square statistic, which is more effective than the joint (X) over bar and R charts in detecting assignable cause(s) that change the process mean and/or increase variability. It is also shown that the EWMA control chart based on a non-central chi-square statistic is more effective in detecting both increases and decreases in mean and/or variability.

Monitoring the process mean and variance using a synthetic control chart with two-stage testing

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A new sampling strategy for the Shewhart control chart monitoring a process with wandering mean

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

In-process grinding monitoring by acoustic emission

This work aims to investigate the efficiency of digital signal processing tools of acoustic emission signals in order to detect thermal damages in grinding process. To accomplish such a goal, an experimental work was carried out for 15 runs in a surface grinding machine operating with an aluminum oxide grinding wheel and ABNT 1045. The acoustic emission signals were acquired from a fixed sensor placed on the workpiece holder. A high sampling rate data acquisition system at 2.5 MHz was used to collect the raw acoustic emission instead of root mean square value usually employed. Many statistics have shown effective to detect burn, such as the root mean square (RMS), correlation of the AE, constant false alarm (CFAR), ratio of power (ROP) and mean-value deviance (MVD). However, the CFAR, ROP, Kurtosis and correlation of the AE have been presented more sensitive than the RMS.

Mean motion resonances and the stability of a circumbinary disk in a triple stellar system

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Double sampling (x)over-bar control chart for a first-order autoregressive moving average process model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Discoloration process modeling by neural network

The photo-oxidation of acid orange 52 dye was performed in the presence of H2O2, utilizing UV light, aiming the discoloration process modeling and the process variable influence characterization. The discoloration process was modeled by the use of feedforward neural network. Each sample was characterized by five independent variables (dye concentration, pH, hydrogen peroxide volume, temperature and time of operation) and a dependent variable (absorbance). The neural model has also provided, through Garson Partition coefficients and the Pertubation method, the independent variable influence order determination. The results indicated that the time of operation was the predominant variable and reaction mean temperature was the lesser influent variable. The neural model obtained presented coefficients of correlation on the order 0.98, for sets of trainability, validation and testing, indicating the power of prediction of the model and its character of generalization. (c) 2007 Elsevier B.V. All rights reserved.

Osteocalcin immunolabeling during the alveolar healing process in ovariectomized rats treated with estrogen or raloxifene

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Histomorphometric analysis and immunolocalization of RANKL and OPG during the alveolar healing process in female ovariectomized rats treated with oestrogen or raloxifene

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)