On EWMA procedure for detection of a change in observation via Martingale approach

King Mongkut's Institute of Technology, Ladkrabang, Thailand
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Journal Article
KMITL Science Journal, 2006, 6 (2a), pp. 373 - 380
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Using martingale technique wepresent analytic approximation and exact lower bounds for the expectation of the first passage times of an Exponentially Weighted Moving Average (EWMA) procedure used for monitoring changes in distributions. Based on these results, a simple numericalprocedure for finding optimal parameters of EWMA for small changes in the means of observation processes is established.
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