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

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dc.contributor.author Sukparungsee, S
dc.contributor.author Novikov, A
dc.date.accessioned 2010-05-14T07:42:40Z
dc.date.created 2010-05-14T07:42:40Z en_US
dc.date.issued 2006-01
dc.identifier.citation KMITL Science Journal, 2006, 6 (2a), pp. 373 - 380
dc.identifier.issn 1685-2044
dc.identifier.other C1 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.
dc.publisher King Mongkut's Institute of Technology, Ladkrabang, Thailand
dc.title On EWMA procedure for detection of a change in observation via Martingale approach
dc.type Journal Article
dc.parent KMITL Science Journal
dc.journal.volume 2a
dc.journal.volume 6
dc.journal.number 2a en_US
dc.publocation Ladkrabang, Thailand en_US
dc.publocation Australia
dc.identifier.startpage 373 en_US
dc.identifier.endpage 380 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010406 Stochastic Analysis and Modelling
dc.for 150201 Finance
dc.for 010205 Financial Mathematics
dc.personcode 991062
dc.percentage 40 en_US
dc.classification.name Stochastic Analysis and Modelling en_US
dc.classification.type FOR-08 en_US
dc.edition 1
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot en_US
dc.description.keywords family, relationships, parenting, children, law, australia
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot
pubs.embargo.period Not known
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 Sciences
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10


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