Robust control chart for nonlinear conditionally heteroscedastic time series based on Huber support vector regression
Chang Kyeom Kim,
Min Hyeok Yoon,
Sangyeol Lee
Abstract:This study proposes a control chart that monitors conditionally heteroscedastic time series by integrating the Huber support vector regression (HSVR) and the one-class classification (OCC) method. For this task, we consider the model that incorporates nonlinearity to the generalized autoregressive conditionally heteroscedastic (GARCH) time series, named HSVR-GARCH, to robustly estimate the conditional volatility when the structure of time series is not specified with parameters. Using the squared residuals, we… Show more
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