Analytical approximations for detection of a changepoint in case of light-tailed distributions
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, P...
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2008
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my-ukm.journal.18762011-06-16T02:55:00Z http://journalarticle.ukm.my/1876/ Analytical approximations for detection of a changepoint in case of light-tailed distributions Soawanit Sukparungsee, Novikov, Alexander 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 Penerbit ukm 2008-12 Article PeerReviewed Soawanit Sukparungsee, and Novikov, Alexander (2008) Analytical approximations for detection of a changepoint in case of light-tailed distributions. Journal of Quality Measurement and Analysis, 4 (2). pp. 49-56. ISSN 1823-5670 http://www.ukm.my/~ppsmfst/jqma/index.html |
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| description |
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 |
| format |
Article |
| author |
Soawanit Sukparungsee, Novikov, Alexander |
| spellingShingle |
Soawanit Sukparungsee, Novikov, Alexander Analytical approximations for detection of a changepoint in case of light-tailed distributions |
| author_facet |
Soawanit Sukparungsee, Novikov, Alexander |
| author_sort |
Soawanit Sukparungsee, |
| title |
Analytical approximations for detection of a changepoint
in case of light-tailed distributions
|
| title_short |
Analytical approximations for detection of a changepoint
in case of light-tailed distributions
|
| title_full |
Analytical approximations for detection of a changepoint
in case of light-tailed distributions
|
| title_fullStr |
Analytical approximations for detection of a changepoint
in case of light-tailed distributions
|
| title_full_unstemmed |
Analytical approximations for detection of a changepoint
in case of light-tailed distributions
|
| title_sort |
analytical approximations for detection of a changepoint
in case of light-tailed distributions |
| publisher |
Penerbit ukm |
| publishDate |
2008 |
| url |
http://journalarticle.ukm.my/1876/ http://www.ukm.my/~ppsmfst/jqma/index.html |
| _version_ |
1643735183193538560 |
| score |
13.197875 |