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Performance of EWMA Chart for Trend Autoregressive Model with Exponential White Noise |
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| รหัสดีโอไอ | |
| Creator | Wannaporn Suriyakat |
| Title | Performance of EWMA Chart for Trend Autoregressive Model with Exponential White Noise |
| Publisher | Silpakorn University Research and Development Institute |
| Publication Year | 2560 |
| Journal Title | Silpakorn University Science and Technology Journal |
| Journal Vol. | 11 |
| Journal No. | 2 |
| Page no. | 16-22 |
| Keyword | ARL, Autoregressive model, EWMA chart, Integral equation |
| ISSN | 2586-842x |
| 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. |
