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On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ

Cabral Morais, Manuel; Okhrin, Yarema; Pacheco, António; … - In: Statistics & Decisions 24 (2006) 4, pp. 397-413

This paper discusses in detail the impact of shifts on the process variance ( σ 2 ) on the run length (RL) of modified upper one-sided EWMA charts for the process mean ( μ ) when the output is correlated. Quite apart from the relevance of a process variance change in its own right, a dilation...

Persistent link: https://www.econbiz.de/10014621335

Static hedging under maturity mismatch

Mayer, Philipp; Packham, Natalie; Schmidt, Wolfgang M. - In: Finance and stochastics 19 (2015) 3, pp. 509-539

Persistent link: https://www.econbiz.de/10011418246

Costs of dose escalation among ulcerative colitis patients treated with adalimumab in Germany

Pöllinger, Bernadette; Schmidt, Wolfgang; Seiffert, Anna; … - In: The European journal of health economics : HEPAC ; … 20 (2019) 2, pp. 195-203

Persistent link: https://www.econbiz.de/10012004819

Measuring model risk in financial risk management and pricing

Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012270928