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Analytical Approximations for Detection of a Change oint in Case of Light-Tailed Distributions

Sukparungsee, Saowanit, and Novikov, Alexander, (2008) Analytical Approximations for Detection of a Change oint in Case of Light-Tailed Distributions. Journal of Quality Measurement and Analysis (JQMA), 4 (2). ISSN 1823-5670

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Official URL: http://pkukmweb.ukm.my/~ppsmfst/jqma/

Affiliations

University Technology Sydney, Australia
University Technology Sydney, Australia

Abstract

Abstract: We derive analytic approximations for the expectation of exit times of Exponentially Weighted Moving Average (EWMA) procedure by using the martingale technique. Based on this technique, martingale approach is able to adapt to monitoring of changes of light-tailed distributions such as Gaussian, Poisson and Bernoulli distributions. Simple procedures are addressed for obtaining the optimal design of EWMA. A comparison with Monte Carlo simulation is also presented.

Item Type:Journal
Keywords:Martingales; exponentially weighted moving average chart; cumulative sum; average run length; average delay time; overshoot
Subjects:Q Science, Computer Science
ID Code:9686

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