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

Sukparungsee, S; Novikov, A

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

Sukparungsee, S Novikov, A

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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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Field	Value	Language
dc.contributor.author	Sukparungsee, S	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	KMITL Science Journal, 2006, 6 (2a), pp. 373 - 380	en_US
dc.identifier.issn	1685-2044	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6070
dc.description.abstract	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.	en_US
dc.publisher	King Mongkut's Institute of Technology, Ladkrabang, Thailand	en_US
dc.relation.ispartof	KMITL Science Journal	en_US
dc.title	On EWMA procedure for detection of a change in observation via Martingale approach	en_US
dc.type	Journal Article
utslib.citation.volume	2a	en_US
utslib.citation.volume	6	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	150201 Finance	en_US
utslib.for	010205 Financial 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
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2a	en_US
pubs.volume	6	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/6070