In this simulation study, we examine the traditional golden ratio search in view of cost minimization and search risk, and propose an alternative search plan with what we call "platinum ratio". The golden ratio search has been thought the best for unimodal optimization. However, our study shows...

Geweke studied the measure of linear dependence and spectral feedback for grouped multivariate time series. This paper applies the measure of linear dependence and spectral feedback to examining the relationship between grouped variables of economy and stock market indices. Putting economic...

Monitoring cross-sectional and serially interdependent processes has become a new issue in statistical process control (SPC). In up-to-date SPC literature, Kalman filtering was reported to monitor univariate autocorrelated processes. This paper applies a Kalman filter or state-space method for...

Traditional multivariate quality control charts are based on independent observations. In this paper, we explain how to extend univariate residual charts to multivariate cases and how to combine the traditional statistical process control (SPC) approaches to monitor changes in process...

This Paper proposes a multivariate EWMA scheme that is alternative to the traditional EWMA-M. The distribution of the chart statistic is derived from Box quadratic form and the sensitivity of the chart is examined. The average run lengths of the M-EWMA scheme are numerically computed with the...

We study the relationship between the Chinese macroeconomy and the Chinese stock markets, i.e., the bourses in Shanghai and Shenzhen. With this goal, we utilize multiple Granger causality and Geweke linear dependence and examine likelihood ratio statistics between two sectors of the Chinese...