References of "Heuchenne, Cédric"
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See detailThe np- Control Charts with the Guaranteed In-Control Performance
Faraz, Alireza ULg; Heuchenne, Cédric ULg

E-print/Working paper (2016)

In this paper, we evaluate the in-control performance of np-control charts with estimated parameters. We then apply the bootstrap method to adjust the control charts’ limits to guarantee the desired in ... [more ▼]

In this paper, we evaluate the in-control performance of np-control charts with estimated parameters. We then apply the bootstrap method to adjust the control charts’ limits to guarantee the desired in-control average run length (ARL0) value in monitoring stage. The adjusted limits ensure that ARL0 would take a value greater than the desired value (say, B) with a certain specified probability, that is Pr⁡(ARL_0>B)=1-ρ. We finally provide users with tables which with practitioners do not need to do bootstrapping Phase I data set to obtain the control limit thresholds. [less ▲]

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See detailAn Exact Method for Designing Shewhart X ̅ and S2 Control Charts to Guarantee the In-Control Performance
Faraz, Alireza ULg; Heuchenne, Cédric ULg

in Journal of Quality Technology (2016)

The in-control performance of the Shewhart X ̅ and S2 control charts with estimated in-control parameters has been evaluated by a number of authors. Results indicate an unrealistically large amount of ... [more ▼]

The in-control performance of the Shewhart X ̅ and S2 control charts with estimated in-control parameters has been evaluated by a number of authors. Results indicate an unrealistically large amount of Phase I data is needed to have the desired in-control average run length (ARL) value in Phase II. To overcome this problem, it has been recommended that the control limits be adjusted based on a bootstrap method to guarantee that the in-control ARL is at least a specified value with a certain specified probability. In our paper we present simple formulas for the required control limits so that practitioners do not have to use the bootstrap method. An assumption of normality is required. The advantage of our proposed method is in its simplicity; there is no bootstrapping and the control chart constants do not depend on the Phase I sample data. [less ▲]

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See detailShewhart Control Charts with Guaranteed In-Control Performance
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Woodall, W.H.

Conference (2015, July 08)

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See detailWhat are the determinants of the operational losses severity distribution ? A multivariate analysis based on a semiparametric approach.
Hambuckers, julien ULg; Heuchenne, Cédric ULg; Lopez, Olivier

Poster (2015, June)

In this paper, we analyse a database of around 41,000 operational losses from the European bank UniCredit. We investigate three kinds of covariates: firm-specific, fi- nancial and macroeconomic covariates ... [more ▼]

In this paper, we analyse a database of around 41,000 operational losses from the European bank UniCredit. We investigate three kinds of covariates: firm-specific, fi- nancial and macroeconomic covariates and we study their relationship with the shape parameter of the severity distribution. To do so, we introduce a semiparametric approach to estimate the shape parameter of the severity distribution, conditionally to large sets of covariates. Relying on a single index assumption to perform a dimension reduction, this approach avoids the curse of dimensionality of pure multivariate nonparametric techniques as well as too restrictive parametric assumptions. We show that taking into account variables measuring the economic well being of the bank could cause the required Operational Value-at-Risk to vary drastically. Especially, high pre-tax ROE, efficiency ratio and stock price are associated with a low shape parameter of the severity distribution, whereas a high market volatility, leverage ratio and unemployment rate are associated with higher tail risks. Finally, we discuss the fact that the considered approach could be an interesting tool to improve the estimation of the parameters in a Loss Distribution Approach and to offer an interesting methodology to study capital requirements variations throughout scenario analyses. [less ▲]

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See detailGuaranteed Conditional Performance of the S2 Control Chart with Estimated Parameters
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Woodall, William

in International Journal of Production Research (2015)

We evaluate the in-control performance of the S2 control chart with estimated parameters conditional on the Phase I sample. Simulation results indicate no realistic amount of Phase I data is enough to ... [more ▼]

We evaluate the in-control performance of the S2 control chart with estimated parameters conditional on the Phase I sample. Simulation results indicate no realistic amount of Phase I data is enough to have confidence that the in-control average run length (ARL) obtained will be near the desired value. To overcome this problem, we adjust the S2 chart controls limits such that the in-control ARL is guaranteed to be above a specified value with a certain specified probability. The required adjustment does not have too much of an effect on the out-of-control performance of the chart. [less ▲]

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See detailA semiparametric model for Generalized Pareto regression based on a dimension reduction assumption
Hambuckers, julien ULg; Heuchenne, Cédric ULg; Lopez, Olivier

E-print/Working paper (2015)

In this paper, we consider a regression model in which the tail of the conditional distribution of the response can be approximated by a Generalized Pareto distribution. Our model is based on a ... [more ▼]

In this paper, we consider a regression model in which the tail of the conditional distribution of the response can be approximated by a Generalized Pareto distribution. Our model is based on a semiparametric single-index assumption on the conditional tail index; while no further assumption on the conditional scale parameter is made. The underlying dimension reduction assumption allows the procedure to be of prime interest in the case where the dimension of the covariates is high, in which case the purely nonparametric techniques fail while the purely parametric ones are too rough to correctly fit to the data. We derive asymptotic normality of the estimators that we define, and propose an iterative algorithm in order to perform their practical implementation. Our results are supported by some simulations and a practical application on a public database of operational losses. [less ▲]

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See detailIdentifying the best technical trading rule: a .632 bootstrap approach.
Hambuckers, julien ULg; Heuchenne, Cédric ULg

Conference (2014, December 07)

In this paper, we estimate the out-of-sample predictive ability of a set of trading rules. Usually, this ability is estimated using a rolling-window sample-splitting scheme, true out-of-sample data being ... [more ▼]

In this paper, we estimate the out-of-sample predictive ability of a set of trading rules. Usually, this ability is estimated using a rolling-window sample-splitting scheme, true out-of-sample data being rarely available. We argue that this method makes a poor use of the available information and creates data mining possibilities. Instead, we introduce an alternative bootstrap approach, based on the .632 bootstrap principle. This method enables to build in-sample and out-of-sample bootstrap data sets that do not overlap and exhibit the same time dependencies. We illustrate our methodology on IBM and Microsoft daily stock prices, where we compare 11 trading rules specifications. For the data sets considered, two different filter rule specifications have the highest out-of-sample mean excess returns. However, all tested rules cannot beat a simple buy-and-hold strategy when trading at a daily frequency. [less ▲]

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See detailThe Robust Economic Statistical Design of the Hotelling’s T^2 Chart
Faraz, Alireza ULg; Chalaki, Kamyar; Saniga, Erwin et al

in Communications in Statistics : Theory & Methods (2014)

Economic statistical designs aim at minimizing the cost of process monitoring when a specific scenario or a set of estimated process and cost parameters is given. However, in practical situations the ... [more ▼]

Economic statistical designs aim at minimizing the cost of process monitoring when a specific scenario or a set of estimated process and cost parameters is given. However, in practical situations the process may be affected by more than one scenario which may lead to severe cost penalties for upsetting the true scenario. This paper presents the robust economic statistical design (RESD) of the T^2 chart to reduce the monetary losses when there are multiple distinct scenarios. The genetic algorithm optimization method is employed here to minimize the total expected monitoring cost across all distinct scenarios. Through two numerical examples the proposed method is illustrated. Simulation studies indicate that the robust economic statistical designs should be encouraged in practice. [less ▲]

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See detailEstimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach
Hambuckers, julien ULg; Heuchenne, Cédric ULg

E-print/Working paper (2014)

In this paper, we estimate the out-of-sample predictive ability of a set of trading rules. Usually, this ability is estimated using a rolling-window sample-splitting scheme, true out-of-sample data being ... [more ▼]

In this paper, we estimate the out-of-sample predictive ability of a set of trading rules. Usually, this ability is estimated using a rolling-window sample-splitting scheme, true out-of-sample data being rarely available. We argue that this method makes a poor use of the available information and creates data mining possibilities. Instead, we introduce an alternative bootstrap approach, based on the .632 bootstrap principle. This method enables to build in-sample and out-of-sample bootstrap data sets that do not overlap and exhibit the same time dependencies. We illustrate our methodology on IBM and Microsoft daily stock prices, where we compare 11 trading rules specifications. For the data sets considered, two different filter rule specifications have the highest out-of-sample mean excess returns. However, all tested rules cannot beat a simple buy-and-hold strategy when trading at a daily frequency. [less ▲]

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See detailThe application of the NSGA-II optimization method in designing control charts
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Seif, Asghar

Scientific conference (2014, June 04)

The problem of designing control chart is formulated as a multi-objective optimization problem with the adjusted average time to signal as the statistical objective and the expected cost per hour as the ... [more ▼]

The problem of designing control chart is formulated as a multi-objective optimization problem with the adjusted average time to signal as the statistical objective and the expected cost per hour as the economic objective. Then we try to find the Pareto-optimal designs in which the two objectives are minimized simultaneously by using the elitist non-dominated sorting genetic algorithm method. Through an illustrative example, the advantages of the proposed approach is shown by providing a list of viable optimal solutions and graphical representations, thereby bolding the advantage of flexibility and adaptability. [less ▲]

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See detailThe variable parameters T2 chart with run rules
Faraz, Alireza ULg; Celano, Giovanni; Heuchenne, Cédric ULg et al

in Statistical Papers (2014), 55(4), 933-950

The Hotelling’s T2 control chart with variable parameters (VP T2) has been shown to have better statistical performance than other adaptive control schemes in detecting small to moderate process mean ... [more ▼]

The Hotelling’s T2 control chart with variable parameters (VP T2) has been shown to have better statistical performance than other adaptive control schemes in detecting small to moderate process mean shifts. In this paper, we investigate the statistical performance of the VP T2 control chart coupled with run rules. We consider two well-known run rules schemes. Statistical performance is evaluated by using a Markov chain modeling the random shock mechanism of the monitored process. The in-control time interval of the process is assumed to follow an exponential distribution. A Genetic Algorithm has been designed to select the optimal chart design parameters. We provide an extensive numerical analysis indicating that the VP T2 control chart with run rules outperforms other charts for small sizes of the mean shift expressed through the Mahalanobis distance. [less ▲]

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See detailShewhart Control Charts for Monitoring Reliability with Weibull Lifetimes
Faraz, Alireza ULg; Saniga, Erwin; Heuchenne, Cédric ULg

in Quality and Reliability Engineering International (2014)

In this paper, we present Shewhart type Z ̅ and S2 control charts for monitoring individual or joint shifts in the scale and shape parameters of a Weibull distributed process. The advantage of this method ... [more ▼]

In this paper, we present Shewhart type Z ̅ and S2 control charts for monitoring individual or joint shifts in the scale and shape parameters of a Weibull distributed process. The advantage of this method is its ease of use and flexibility for the case where the process distribution is Weibull, although the method can be applied to any distribution. We illustrate the performance of our method through simulation and the application through the use of an actual data set. Our results indicate that Z ̅ and S2 control charts perform well in detecting shifts in the scale and shape parameters. We also provide a guide that would enable a user to interpret out-of-control signals. [less ▲]

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See detailA new methodological approach for error distributions selection in Finance
Hambuckers, julien ULg; Heuchenne, Cédric ULg

E-print/Working paper (2014)

In this article, we propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a first step, unlike to the ... [more ▼]

In this article, we propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we don't use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure (Mercurio and Spokoiny, 2004): the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspecification for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures (Berk-Jones tests, kernel density-based selection, censored likelihood score, coverage probability) based on the so-obtained residuals. These methods enable to assess the global fit of a given distribution as well as to focus on its behavior in the tails. Finally, we illustrate our methodology on three time series (UBS stock returns, BOVESPA returns and EUR/USD exchange rates). [less ▲]

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See detailA new methodological approach for error distributions selection in Finance
Hambuckers, julien ULg; Heuchenne, Cédric ULg

Conference (2014, April)

In this article, we propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a first step, unlike to the ... [more ▼]

In this article, we propose a robust methodology to select the most appropriate error distribution candidate, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we don't use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure (Mercurio and Spokoiny, 2004): the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspecification for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures (Berk-Jones tests, kernel density-based selection, censored likelihood score, coverage probability) based on the so-obtained residuals. These methods enable to assess the global fit of a given distribution as well as to focus on its behavior in the tails. Finally, we illustrate our methodology on three time series (UBS stock returns, BOVESPA returns and EUR/USD exchange rates). [less ▲]

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See detailStatistically Bundled Shewhart Control Charts for Monitoring Delivery Chains Systems
Foster, Earnest; Faraz, Alireza ULg; Heuchenne, Cédric ULg

E-print/Working paper (2014)

Continuous monitoring of Delivery Time variables by means of control charts in a delivery chain is a very recent application of Statistical Process Control (SPC) to the service sector. The aim of the ... [more ▼]

Continuous monitoring of Delivery Time variables by means of control charts in a delivery chain is a very recent application of Statistical Process Control (SPC) to the service sector. The aim of the proposed method is to provide supply chain decision makers with an easy to be managed tool monitoring the current functioning state of the delivery chain. The implementation of SPC control charts makes it possible to limit over-corrections to false alarm conditions and to maintain at an acceptable level the safety stock, with a consequent reduction of the overall management costs of the delivery chain. An illustrative example shows the proposed control chart implementation in a real delivery chain. [less ▲]

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See detailDouble Objective Economic Statistical Design of the VPT2 Control Chart: Wald’s identity approach
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Saniga, Erwin et al

in Journal of Statistical Computation & Simulation (2014), 84

Recent studies have shown that applying the control chart by using a variable parameters (VP) scheme yields more rapid detection of assignable causes than the classical method of taking fixed sample sizes ... [more ▼]

Recent studies have shown that applying the control chart by using a variable parameters (VP) scheme yields more rapid detection of assignable causes than the classical method of taking fixed sample sizes at fixed intervals of time. In this paper, the problem of economical statistical design of the VP T2 control chart is considered as a double-objective minimization problem with the statistical objective adjusted average time to signal and the economic objective expected cost per hour. Then we strive to find the Pareto-optimal designs in which the two objectives are met simultaneously by using a multi-objective Genetic Algorithm or GA. Through an illustrative example, we show that relatively large benefits accrue to the VP method relative to the classical policy; further another advantage of our approach is to provide a list of alternative solutions that can be explored graphically. This then ensures flexibility and adaptability, an important attribute of contemporary control chart design. [less ▲]

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See detailLikelihood based inference for semi-competing risks
Heuchenne, Cédric ULg; Laurent, Stéphane ULg; Legrand, Catherine et al

in Communications in Statistics : Simulation & Computation (2014), 43(5), 1112-1132

Detailed reference viewed: 56 (7 ULg)