Work

Exact solution of the average run length for the cumulative sum chart for a moving average process of order q

Year: 2015

Type: article

Abstract: In this paper we use a Fredholm integral equation approach to derive an explicit formula for the average run length (ARL) of a cumulative sum (CUSUM) chart for random observations described by a moving average process of order q (MA(q)) with exponential white noise.We compare the computational times required for calculating the ARL from our exact formula with the computational times required for solving the Fredholm integral equations using a Gauss-Legendre numerical scheme.We find that the computational times are approximately 1 s for the explicit formula and approximately 13 min for the numerical integration scheme.

Source: ScienceAsia

DOI: 10.2306/scienceasia1513-1874.2015.41.141

Authors: Kanita Petcharat, Saowanit Sukparungsee, Yupaporn Areepong

Institution: King Mongkut's University of Technology North Bangkok

Language: English

Topic: Advanced Statistical Process Monitoring

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W4246152809

FWCI: 0.608

Cites: 20

Cited by: 19

Related to: 10