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

Publisher:
Academic Publications
Publication Type:
Journal Article
Citation:
International Journal of Pure and Applied Mathematics, 2012, 77 (1), pp. 73 - 83
Issue Date:
2012-01
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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.
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