Search results for "EWMA"

Efficient anomaly detection on sampled data streams with contaminated phase I data

2020

International audience; Control chart algorithms aim to monitor a process over time. This process consists of two phases. Phase I, also called the learning phase, estimates the normal process parameters, then in Phase II, anomalies are detected. However, the learning phase itself can contain contaminated data such as outliers. If left undetected, they can jeopardize the accuracy of the whole chart by affecting the computed parameters, which leads to faulty classifications and defective data analysis results. This problem becomes more severe when the analysis is done on a sample of the data rather than the whole data. To avoid such a situation, Phase I quality must be guaranteed. The purpose…

Application of Statistical Process Control to Continuous Processes

2002

Control charts represent an efficient and easy tool to assure the state of statistical quality control in a manufacturing process. These tools are also implemented in continuous processes, where the critical parameters are often monitored by on line sensors measuring data with short time intervals. In this paper a continuous process is monitored by using control charts and its dynamic is modeled through linear time series that allow the effects of the autocorrelation to be eliminated. In this way, the control charts can operate on residuals that result identically and independently distributed. A statistical analysis on EWMA, CUSUM and control charts for individual measurements has been car…

Second-order hydrodynamic effects on the response of three semisubmersible floating offshore wind turbines

2020

Abstract Floating structures have become the most feasible solution for supporting wind turbines when offshore wind project move to deeper water. In this paper, a hydrodynamic analysis of three different semisubmersible floating offshore wind turbines is carried out including second-order hydrodynamic effects. The three examined platforms are V-shaped semisubmersible, Braceless semisubmersible and OC4-DeepCwind semisubmersible and are used to support the NREL 5 MW reference wind turbine. The main objective of the present study is to investigate and compare the hydrodynamic response of the three different semisubmersible floaters in two water depths (100 m, and 200 m) under different load co…

Dynamic Finite Element analysis of fractionally damped structural systems in the time domain

2015

Visco-elastic material models with fractional characteristics have been used for several decades. This paper provides a simple methodology for Finite-Element-based dynamic analysis of structural systems with viscosity characterized by fractional derivatives of the strains. In particular, a re-formulation of the well-known Newmark method taking into account fractional derivatives discretized via the Grunwald–Letnikov summation allows the analysis of structural systems using standard Finite Element technology.

Would student's t-GARCH improve VaR estimates?

2005

Antichità classica e personalismo cristiano nel XIX secolo E. A. Freeman (1823-1892) e J. H. Newman (1801-1890): due liberali a confronto

2012

The genus Sympetrum Newmann, 1833 (Odonata Libellulidae)

2020

The genus Sympetrum Newmann, 1833 (Odonata Libellulidae)

Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models

2013

This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…

La croyance dans le fumoir : “The Portrait of Mr. WH”, l’éthique de la croyance de William Kingdon Clifford et l’assentiment selon John Henry Newman

2023

Wilde’s story “The Portrait of Mr. W.H.” blurs literary genres, asserts the importance of the false and plays with reader expectations. It has generated a substantial exege- sis, perhaps lacking in interest in the multi-faceted debates on belief running through the 1870s-1880s. Wilde takes part in that debate through a text of uncertain status and complex editorial history, contrasting Newmanian assent with W.K. Clifford’s ethics of belief (1877), before asserting the supremacy of desire, thus ruining all assent and epistemically justified belief. To the demanding philosophical-religious theories of Clifford and Newman, Wilde responds with an ambiguous, subversive narrative, intended to com…

Characterisation and optimal design of a new double sampling <i>c</i> chart

2019

This paper proposes a new double sampling scheme for c control chart (DS-c), which was designed to improve the performance of c chart or to reduce the inspection cost. The mathematical expression required to do an exact evaluation of ARL and ASN is deduced. Further, a bi-objective genetic algorithm is implemented to obtain the optimal design of the DS-c scheme. This optimisation is aimed to simultaneously minimising the error probability type II and the ASN, guaranteeing a desired level for the error probability type I. A performance comparison between the double sampling (DS), fixed parameters (FP), variable simple size (VSS) and exponential weighted moving average (EWMA) schemes for the c…