Geometric Brownian Motion-Based Time Series Modeling Methodology for Statistical Autocorrelated Process Control: Logarithmic Return Model

<table class="table-group" id="tab3"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left">Quality characteristics</td><td class="align_center"><span style="width: 20.2974ptpx;"><svg height="12.9866pt" id="M97" style="vertical-align:-4.3507pt" version="1.1" viewbox="-0.0498162 -8.6359 20.2974 12.9866" width="20.2974pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M748 650H522L515 622L546 617C580 611 587 604 565 575C518 513 469 451 419 393C376 474 349 534 330 580C318 609 325 612 361 618L383 622L392 650H151L144 622C214 616 224 612 257 543L360 327C270 218 187 124 159 95C106 40 92 34 26 28L17 0H252L259 28L236 31C189 37 188 47 209 78C249 136 308 210 377 294L478 79C494 44 487 37 449 32L418 28L409 0H673L680 28C596 34 591 39 554 116L436 361C526 469 574 521 604 553C659 612 669 614 739 622L748 650Z"></path></g><g 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0H673L680 28C596 34 591 39 554 116L436 361C526 469 574 521 604 553C659 612 669 614 739 622L748 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,9.88,3.132)"><path d="M290 377C321 398 342 415 358 430C378 450 389 473 389 502C389 578 329 635 238 635H237C184 635 137 610 109 578L64 515L88 493C112 529 154 573 208 573S303 542 303 482C303 409 233 370 141 341L149 308C165 313 190 319 215 319C272 319 341 283 341 193C342 98 292 43 222 43C163 43 122 72 96 94C88 101 79 100 70 94C61 87 47 73 46 60C44 47 48 37 62 23C76 10 118 -12 165 -12C238 -12 430 62 430 223C430 297 379 359 290 375V377Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,14.312,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.469,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg></span></td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left">Durbin Watson, <svg height="8.70527pt" id="M100" style="vertical-align:-0.1802902pt" version="1.1" viewbox="-0.0498162 -8.52498 22.139 8.70527" width="22.139pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.333,0)"><path d="M956 650H736V622C814 613 818 602 804 542C789 471 733 275 691 141H689C628 314 570 476 514 641H485C434 478 377 312 323 142H321C277 284 238 419 199 554C184 605 186 613 259 622V650H16V622C77 615 92 606 117 524C172 346 228 170 281 -11H312C363 151 419 312 475 488H477C528 343 597 150 652 -11H683C765 269 826 458 848 522C878 605 887 613 956 622V650Z"></path></g></svg></td><td class="align_center">2.1230</td><td class="align_center">2.1332</td><td class="align_center">2.1728</td></tr><tr><td class="align_left">Anderson Darling, <svg height="8.80315pt" id="M101" style="vertical-align:-0.04981041pt" version="1.1" viewbox="-0.0498162 -8.75334 18.7072 8.80315" width="18.7072pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.983,0)"><path d="M43 650V622C120 616 128 612 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403C428 403 482 380 482 289Z"></path></g></svg> value)</td><td class="align_center">0.309 (0.553)</td><td class="align_center">0.659 (0.083)</td><td class="align_center">0.270 (0.671)</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Statistical test results to determine i.i.n.d. of logarithmic return for data <span class="nowrap"><svg height="12.9866pt" id="M94" style="vertical-align:-4.3507pt" version="1.1" viewbox="-0.0498162 -8.6359 20.2974 12.9866" width="20.2974pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M748 650H522L515 622L546 617C580 611 587 604 565 575C518 513 469 451 419 393C376 474 349 534 330 580C318 609 325 612 361 618L383 622L392 650H151L144 622C214 616 224 612 257 543L360 327C270 218 187 124 159 95C106 40 92 34 26 28L17 0H252L259 28L236 31C189 37 188 47 209 78C249 136 308 210 377 294L478 79C494 44 487 37 449 32L418 28L409 0H673L680 28C596 34 591 39 554 116L436 361C526 469 574 521 604 553C659 612 669 614 739 622L748 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,9.88,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,14.312,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.468,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg>,</span> <span class="nowrap"><svg height="12.9866pt" id="M95" style="vertical-align:-4.3507pt" version="1.1" viewbox="-0.0498162 -8.6359 20.2974 12.9866" width="20.2974pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M748 650H522L515 622L546 617C580 611 587 604 565 575C518 513 469 451 419 393C376 474 349 534 330 580C318 609 325 612 361 618L383 622L392 650H151L144 622C214 616 224 612 257 543L360 327C270 218 187 124 159 95C106 40 92 34 26 28L17 0H252L259 28L236 31C189 37 188 47 209 78C249 136 308 210 377 294L478 79C494 44 487 37 449 32L418 28L409 0H673L680 28C596 34 591 39 554 116L436 361C526 469 574 521 604 553C659 612 669 614 739 622L748 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,9.88,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,14.312,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.468,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg>,</span> and <span class="nowrap"><svg height="12.9866pt" id="M96" style="vertical-align:-4.3507pt" version="1.1" viewbox="-0.0498162 -8.6359 20.2974 12.9866" width="20.2974pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M748 650H522L515 622L546 617C580 611 587 604 565 575C518 513 469 451 419 393C376 474 349 534 330 580C318 609 325 612 361 618L383 622L392 650H151L144 622C214 616 224 612 257 543L360 327C270 218 187 124 159 95C106 40 92 34 26 28L17 0H252L259 28L236 31C189 37 188 47 209 78C249 136 308 210 377 294L478 79C494 44 487 37 449 32L418 28L409 0H673L680 28C596 34 591 39 554 116L436 361C526 469 574 521 604 553C659 612 669 614 739 622L748 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,9.88,3.132)"><path d="M290 377C321 398 342 415 358 430C378 450 389 473 389 502C389 578 329 635 238 635H237C184 635 137 610 109 578L64 515L88 493C112 529 154 573 208 573S303 542 303 482C303 409 233 370 141 341L149 308C165 313 190 319 215 319C272 319 341 283 341 193C342 98 292 43 222 43C163 43 122 72 96 94C88 101 79 100 70 94C61 87 47 73 46 60C44 47 48 37 62 23C76 10 118 -12 165 -12C238 -12 430 62 430 223C430 297 379 359 290 375V377Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,14.312,3.132)"><path d="M98 134C72 134 46 117 46 90C46 73 55 65 60 64C95 55 124 32 124 -4C124 -42 95 -68 44 -89L57 -123C122 -104 194 -60 194 22C194 94 136 134 98 134Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.469,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg>.</span></div>

International Journal of Mathematics and Mathematical Sciences

tab3

Table 3

Table 3: Geometric Brownian Motion-Based Time Series Modeling Methodology for Statistical Autocorrelated Process Control: Logarithmic Return Model 