On EWMA Procedure for Detection of a Change in Observations via Martingale Approach

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Published: Mar 30, 2018
Keywords:
EWMA, Martingale Approach, First Passage Time, AR (1) Process, Average Run Length, Average Delay, Overshoot.

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Saowanit Sukparungsee*
Department of Mathematical Sciences, University of Technology, Sydney, Australia.
Alexander Novikov
Department of Mathematical Sciences, University of Technology, Sydney, Australia.

Abstract

Using martingale technique, we present analytic approximations and exact lower bounds for the expectation of the first passage times of an Exponentially Weighted Moving Average (EWMA) procedure used for monitoring changes in distributions. Based on these results, a simple numerical procedure for finding optimal parameters of EWMA for small changes in the means of observation processes is established.


Keywords: EWMA, Martingale Approach, First Passage Time, AR (1) Process, Average Run Length, Average Delay, Overshoot.


Corresponding author: E-mail: [email protected]

Article Details

Issue
Vol. 6 No. 2a (2006)
Section
Original Research Articles

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