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

Publisher:
King Mongkut's Institute of Technology, Ladkrabang, Thailand
Publication Type:
Journal Article
Citation:
KMITL Science Journal, 2006, 6 (2a), pp. 373 - 380
Issue Date:
2006-01
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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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