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- Applications Residual Control Charts Based on Variable LimitsPublication . Souza, F. M.; Souza, A.M.; Zanini, R.R.; REICHERT, B.; LIMA JUNIOR, A. V.; Souza, F. M.The main purpose of this paper is to verify the stability of a productive process in the presence of the effects of autocorrelation and volatility, in order to capture these characteristics by a joint forecast model which produces residuals that are evaluated by a control chart based on variable control limits. The methodology employed will be the joint estimation of the residuals by ARIMA – ARCH models and the conditional standard deviation from residuals to establish the chart control limits. The joint AR (1)-ARCH (1) model shows that an appropriate forecasting model brings a great contribution to the performance of residual control charts in monitoring the stability of industrial variables using just one chart to monitor mean and variance together.
- Stochastic models of forecasting prices of soybeans in BrazilPublication . Feliciani, A.V.; Souza, A.M.; Souza, F. M.; Souza, F. M.; Feliciani, A. V.
- The importance of principal components in studying mineral prices using vector autoregressive models: evidence from the Brazilian economyPublication . Ramser, Claudia Aline de Souza; Souza, Adriano Mendonça; Souza, F. M.; da Veiga, Claudimar Pereira; da Silva, Wesley Vieirahis study examines the impact of the main Brazilian mineral commodity prices negotiated in trade balance using vector autoregressive models (VAR) in the Brazilian economy in a short-term period. VAR models were applied to the full original data and then to the data dimensionality reduced by principal components denoted by PC-VAR (principal component - vector autoregressive). In the study cases, Cholesky decomposition impulse response and variance decomposition were performed and compared in terms of short run co-movements to identify the most effective model. The applied PC-VAR methodology led to a significant reduction of variables, and similar co-movements were obtained in the short-term period when an impulse response was applied and compared to an unrestricted vector autoregressive. The proposed method also identified the most important variables that affect the other variables in the Brazilian economy and have the same co-movements.