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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Main Authors: | Soawanit Sukparungsee,, Novikov, Alexander |
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Format: | Article |
Published: |
Penerbit ukm
2008
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Online Access: | http://journalarticle.ukm.my/1876/ http://www.ukm.my/~ppsmfst/jqma/index.html |
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