On the Monitoring of Autocorrelated Linear Profiles

A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring

The implementation of statistical techniques in on-line surveillance of financial markets has been frequently studied more recently. As a novel approach, statistical control charts which are famous tools for monitoring industrial processes, have been applied in various financial applications in the last three decades. The aim of this study is to propose a novel application of control charts called profile monitoring in the surveillance of the cryptocurrency markets. In this way, a new control chart is proposed to monitor the price variation of a pair of two most famous cryptocurrencies i.e., Bitcoin (BTC) and Ethereum (ETH). Parameter estimation, tuning and sensitivity analysis are conducted assuming that the random explanatory variable follows a symmetric normal distribution. The triggered signals from the proposed method are interpreted to convert the BTC and ETH at proper times to increase their total value. Hence, the proposed method could be considered a financial indicator so that its signal can lead to a tangible increase of the pair of assets. The performance of the proposed method is investigated through different parameter adjustments and compared with some common technical indicators under a real data set. The results show the acceptable and superior performance of the proposed method.

Transitions between versions of the International Classification of Diseases and chronic disease prevalence estimates from administrative health data: a population-based study

Background

Diagnosis codes in administrative health data are routinely used to monitor trends in disease prevalence and incidence. The International Classification of Diseases (ICD), which is used to record these diagnoses, have been updated multiple times to reflect advances in health and medical research. Our objective was to examine the impact of transitions between ICD versions on the prevalence of chronic health conditions estimated from administrative health data.

Methods

Study data (i.e., physician billing claims, hospital records) were from the province of Manitoba, Canada, which has a universal healthcare system. ICDA-8 (with adaptations), ICD-9-CM (clinical modification), and ICD-10-CA (Canadian adaptation; hospital records only) codes are captured in the data. Annual study cohorts included all individuals 18 + years of age for 45 years from 1974 to 2018. Negative binomial regression was used to estimate annual age- and sex-adjusted prevalence and model parameters (i.e., slopes and intercepts) for 16 chronic health conditions. Statistical control charts were used to assess the impact of changes in ICD version on model parameter estimates. Hotelling’s T² statistic was used to combine the parameter estimates and provide an out-of-control signal when its value was above a pre-specified control limit.

Results

The annual cohort sizes ranged from 360,341 to 824,816. Hypertension and skin cancer were among the most and least diagnosed health conditions, respectively; their prevalence per 1,000 population increased from 40.5 to 223.6 and from 0.3 to 2.1, respectively, within the study period. The average annual rate of change in prevalence ranged from -1.6% (95% confidence interval [CI]: -1.8, -1.4) for acute myocardial infarction to 14.6% (95% CI: 13.9, 15.2) for hypertension. The control chart indicated out-of-control observations when transitioning from ICDA-8 to ICD-9-CM for 75% of the investigated chronic health conditions but no out-of-control observations when transitioning from ICD-9-CM to ICD-10-CA.

Conclusions

The prevalence of most of the investigated chronic health conditions changed significantly in the transition from ICDA-8 to ICD-9-CM. These results point to the importance of considering changes in ICD coding as a factor that may influence the interpretation of trend estimates for chronic health conditions derived from administrative health data.

Supplementary Information

The online version contains supplementary material available at 10.1186/s12889-022-13118-8.

A regression spline control chart for monitoring characteristics exhibiting nonlinear profile over time

Purpose

The purpose of this paper is to demonstrate the application of the control chart procedure to monitor the characteristics whose profile over time resembles a set of connected line segments.

Design/methodology/approach

Fit a regression spline model by taking the subgroup average of the characteristic as response variable and time as the explanatory variable. Then monitor the response variable using the regression spline control chart with the fitted model as center line and upper and lower control limits at three standard deviation units of the response variable above and below the center line.

Findings

The proposed chart is successfully deployed to monitor the daily response time profile of a client server of an application support process. The chart ensured the stability of the process as well as detected the assignable cause leading to the slowing down of the server performance.

Practical implications

The methodology can be used to monitor any characteristics whose performance profile over time resembles a set of connected line segments. Some of the examples are the consumption profile of utility providers like power distribution companies, usage profiles of telecom networks, loading profile of airline check-in process, e-commerce websites, etc.

Originality/value

To the best of the author’s knowledge, construction of control charts using regression spline is new. The usage of the control chart to monitor the performance characteristics which exhibits a nonlinear profile over time is also rare.