2014
DOI: 10.3844/ajassp.2014.888.898
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Model Building for Autocorrelated Process Control: An Industrial Experience

Abstract: We show that many time series data are governed by Geometric Brownian Motion (GBM) law. This motivates us to propose a procedure of time series model building for autocorrelated process control that might consist of two steps. First, we test whether the process data are governed by GBM law. If it is affirmative, the appropriate model is directly given by the properties of that law. Otherwise, we go to the standard practice at the second step where the best model is constructed by using ARIMA method. An industr… Show more

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Cited by 2 publications
(2 citation statements)
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“…White noise was tested using the Box-Ljung test (Seiler and Rom, 1997). The Jarque-Bera test (Jarque, 2011) and the Anderson-Darling test for normality (Djauhari et al, 2014) were also used. The auto-correlation function and partial auto-correlation function were then plotted to determine the autoregressive integrated moving average (p, d, q) where p is the order of auto-regression, d is the lagged difference between the current and previous values, and q denotes the order of the moving average.…”
Section: Framework Explaining the Methodsmentioning
confidence: 99%
“…White noise was tested using the Box-Ljung test (Seiler and Rom, 1997). The Jarque-Bera test (Jarque, 2011) and the Anderson-Darling test for normality (Djauhari et al, 2014) were also used. The auto-correlation function and partial auto-correlation function were then plotted to determine the autoregressive integrated moving average (p, d, q) where p is the order of auto-regression, d is the lagged difference between the current and previous values, and q denotes the order of the moving average.…”
Section: Framework Explaining the Methodsmentioning
confidence: 99%
“…During the process, the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test [29] was used to determine whether the time series was stationary around a mean or linear trend or is nonstationary owing to a unit root, and white noise was tested using the Box-Ljung test. [30] Moreover, we employed the Jarque-Bera test [31] and the Anderson-Darling test for normality, [32] and the augmented Dickey-Fuller test [29] to determine its stationarity. This was then followed by plotting of the autocorrelation function and partial autocorrelation function to determine ARIMA (p, d, q), where p is the order of autoregression (AR), d is the lagged difference between the current and previous values, and q denotes the order of the moving average (MA).…”
Section: Forecasting Emergency Department Arrivalsmentioning
confidence: 99%