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

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left" rowspan="2">Attribute</td><td class="align_center" colspan="2">Running time (in second of CPU time)</td></tr><tr class="thead"><td class="align_center">ARIMA model</td><td class="align_center">LR model</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left"><span style="width: 14.9631ptpx;"><svg height="11.8174pt" id="M115" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 14.9631 11.8174" width="14.9631pt" 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></svg></span></td><td class="align_center">6.09</td><td class="align_center">0.23</td></tr><tr><td class="align_left"><span style="width: 14.9631ptpx;"><svg height="11.8174pt" id="M116" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 14.9631 11.8174" width="14.9631pt" 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></svg></span></td><td class="align_center">5.74</td><td class="align_center">0.19</td></tr><tr><td class="align_left"><span style="width: 14.9631ptpx;"><svg height="11.927pt" id="M117" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 14.9631 11.927" width="14.9631pt" 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></svg></span></td><td class="align_center">5.48</td><td class="align_center">0.19</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Comparison of running time for ARIMA and LR models.</div>

International Journal of Mathematics and Mathematical Sciences

tab5

Table 5

Table 5: Geometric Brownian Motion-Based Time Series Modeling Methodology for Statistical Autocorrelated Process Control: Logarithmic Return Model 