doi: 10.17706/ijapm.2016.6.4.218-225
Explicit Formula of ARL for SMA(Q)L with Exponential White Noise on EWMA Chart
Kanita Petcharat
- Department of Applied Statistics, King Mongkut's University of Technology North Bangkok, Thailand
Abstract
The paper propose the method for analyze the explicit formula of Average Run Length (ARL) of Exponentially Weighted Moving Average (EWMA) when the random observations are seasonal moving average order q; SMA(Q)L with exponential white noise. The numerical results from explicit formula and the Gauss-Legendre quadrature rule are presented. The results show that ARL from both methods are in good agreement and useful to detect change in process. In addition, this paper show comparison between explicit formulas of ARLs from EWMA and CUSUM charts to monitor the process.
Keywords
- Exponentially weighted moving average (EWMA)
- cumulative sum chart (CUSUM)
- seasonal moving average
- fredholm integral
How to Cite
Kanita Petcharat, "Explicit Formula of ARL for SMA(Q)L with Exponential White Noise on EWMA Chart," International Journal of Applied Physics and Mathematics, vol. 6, no. 4, pp. 218-225, 2016. https://doi.org/ 10.17706/ijapm.2016.6.4.218-225
Copyright & License
Copyright © 2016 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).