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

Suriyakat, W; Areepong, Y; Sukparungsee, S; Mititelu, G

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

Suriyakat, W Areepong, Y Sukparungsee, S Mititelu, G

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Publication Type:: Journal Article
Citation:: International Journal of Pure and Applied Mathematics, 2012, 77 (1), pp. 73 - 83
Issue Date:: 2012-05-28

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Field	Value	Language
dc.contributor.author	Suriyakat, W	en_US
dc.contributor.author	Areepong, Y	en_US
dc.contributor.author	Sukparungsee, S	en_US
dc.contributor.author	Mititelu, G	en_US
dc.date.issued	2012-05-28	en_US
dc.identifier.citation	International Journal of Pure and Applied Mathematics, 2012, 77 (1), pp. 73 - 83	en_US
dc.identifier.issn	1311-8080	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22777
dc.description.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.	en_US
dc.relation.ispartof	International Journal of Pure and Applied Mathematics	en_US
dc.title	On EWMA procedure for AR(1) observations with exponential white noise	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	77	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0101 Pure Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	77	en_US

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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http://hdl.handle.net/10453/22777