MODEL BUILDING FOR AUTOCORRELATED PROCESS CONTROL: AN INDUSTRIAL EXPERIENCE
M. A. Djauhari, S. L. Lee and Z. Ismail
DOI : 10.3844/ajassp.2014.888.898
American Journal of Applied Sciences
Volume 11, Issue 6
We show that many time series data are governed by Geometric Brownian Motion (GBM) law. This motivates us to propose a procedure of time series model building for autocorrelated process control that might consist of two steps. First, we test whether the process data are governed by GBM law. If it is affirmative, the appropriate model is directly given by the properties of that law. Otherwise, we go to the standard practice at the second step where the best model is constructed by using ARIMA method. An industrial example will be reported to demonstrate the advantages of that procedure. In that example, a comparison study with ARIMA method will be reported to illustrate the effectiveness and efficiency of the GBM-based model building.
© 2014 M. A. Djauhari, S. L. Lee and Z. Ismail. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.