管理工程学报
管理工程學報
관리공정학보
Journal of Industrial Engineering and Engineering Management
2008年
4期
140~145
,共null页
统计过程控制 AR型残差控制图 ARCH型控制图 AR-ARCH型残差控制图 股票周收益序列
統計過程控製 AR型殘差控製圖 ARCH型控製圖 AR-ARCH型殘差控製圖 股票週收益序列
통계과정공제 AR형잔차공제도 ARCH형공제도 AR-ARCH형잔차공제도 고표주수익서렬
SPC; AR type residuals chart; ARCH type control chart; AR-ARCH type residuals chart; series of stock＇s weekly proceeds
应用AR型残差控制图解决过程自相关问题；用受控过程的条件标准差替代无条件标准差，构造控制图的控制线，解决过程波动簇聚问题。在实证中，以上证50指数中股票的周收益序列为样本过程，根据其统计性质将其分为四类，并分别举例、选择适当的控制图加以监控。然后，对控制图识别出的异常点举例进行验证、分析，以评价控制图应用于股票收益序列监控的有效性。
應用AR型殘差控製圖解決過程自相關問題；用受控過程的條件標準差替代無條件標準差，構造控製圖的控製線，解決過程波動簇聚問題。在實證中，以上證50指數中股票的週收益序列為樣本過程，根據其統計性質將其分為四類，併分彆舉例、選擇適噹的控製圖加以鑑控。然後，對控製圖識彆齣的異常點舉例進行驗證、分析，以評價控製圖應用于股票收益序列鑑控的有效性。
응용AR형잔차공제도해결과정자상관문제；용수공과정적조건표준차체대무조건표준차，구조공제도적공제선，해결과정파동족취문제。재실증중，이상증50지수중고표적주수익서렬위양본과정，근거기통계성질장기분위사류，병분별거례、선택괄당적공제도가이감공。연후，대공제도식별출적이상점거례진행험증、분석，이평개공제도응용우고표수익서렬감공적유효성。
In this paper, the AR type residual chart, which combines AR model and residual chart, is proposed to solve the problem of autocorrelation in processes, and the ARCH type control charts, which construct the control chart＇s control lines with the conditional standard variance of sample process rather than with the unconditional standard variance, are proposed to solve the problem of volatility clustering in processes. An empirical study on the application of the control charts to monitoring the series of stock＇s weekly proceeds is carried out. All sample processes are divided into 4 categories according to their statistical characters. For each of the categories an example is cited and a proper control chart is designed. Then some out-of-control signals identified by control charts are testified and analyzed to demonstrate the efficiency of control charts in this empirical study.
