On EWMA procedure for AR(1) observations with exponential white noise

Wannaporn Suriyakat · Yupaporn Areepong · Saowanit Sukparungsee · G Mititelu

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Advanced Statistical Process Monitoring Probability and Statistical Research Fault Detection and Control Systems

Abstract

In this paper, we use Fredholm second kind integral equations method to solve the corresponding Average Run Length (ARL), when the observations of a random process are serially-correlated. We derive explicit expressions for the ARL of an EWMA control chart, or its corresponding AR(1) process, when the observations follow an exponential distribution white noise. The analytical expressions derived, are easy to implement in any computer packages, and as a consequence, it reduces considerably the computational time comparable with the traditional numerical methods used to solve integral equations. © 2012 Academic Publications, Ltd.

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2021Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model 2012Analytical Method of Average Run Length for Trend Exponential AR(1) Processes in EWMA Procedure 2023ARL Evaluation of a DEWMA Control Chart for Autocorrelated Data: A Case Study on Prices of Major Industrial Commodities

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