SILPAKORN UNIVERSITY SCIENCE AND TECHNOLOGY JOURNAL, Vol 11, No 2 (2017)

Performance of EWMA Chart for Trend Autoregressive Model with Exponential White Noise

Wannaporn Suriyakat




Abstract


      In this paper, we propose an explicit formula of the performance for Exponentially Weighted Moving Average (EWMA) chart by using the Fredholm integral equation of the second kind and the data are described by trend Exponential Autoregressive order p (EAR(p)) model. The performance of the chart is measured by the Average Run Length (ARL). The solution is compared with numerical approximations and we found that the computational time of the explicit formula takes approximately 1 s while the numerical computations were approximately 10 min.

Key Words: ARL; Autoregressive model; EWMA chart; Integral equation

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