On the Method of Detection Linear Trend in Stochastic Processes

• Autorzy: Grzegorz Kończak
• Języki publikacji: EN

Abstrakty

EN

Various physical, technical, biological, and economic processes can be modelled using stochastic processes. A physical example of a stochastic process is the brownian motion and an economic examples are production processes. The method of modelling stochastic processes are widely used in analysis of properties of statistical quality control procedures. One of the most common problems in monitoring real processes in quality control is to test the stability of the process. The methods for detecting the trend in stochastic processes are presented in the paper. There are three methods analyzed which are based on the average indexes. Two cases of no stationary processes were analyzed: one step shift and linear trend. The Monte Carlo study have been made. The results of the simulation study have shown that the proposed test can be used to verify the hypothesis about the stability of stochastic process.(original abstract)

Słowa kluczowe

EN

Trend analysis; Stochastic processes

PL

Analiza trendu; Procesy stochastyczne

• Czasopismo: Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Numer: nr 53 Metody wnioskowania statystycznego w badaniach ekonomicznych
• Strony: 135--147

Twórcy

autor

Grzegorz Kończak

• The Karol Adamiecki University of Economics in Katowice, Poland

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