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

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dc.contributor.author Sukparungsee, Saowanit en_US
dc.contributor.author Novikov, Alex en_US
dc.date.accessioned 2010-05-14T07:42:40Z
dc.date.available 2010-05-14T07:42:40Z
dc.date.created 2010-05-14T07:42:40Z en_US
dc.date.issued 2006
dc.date.issued 2006 en_US
dc.identifier 2006005396 en_US
dc.identifier.citation Sukparungsee Saowanit and Novikov Alex 2006, 'On EWMA procedure for detection of a change in observation via Martingale approach', King Mongkut's Institute of Technology, Ladkrabang, Thailand, vol. 6, no. 2a, pp. 373-380. en_US
dc.identifier.issn 1685-2044 en_US
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. en_US
dc.publisher King Mongkut's Institute of Technology, Ladkrabang, Thailand en_US
dc.relation.isbasedon en_US
dc.title On EWMA procedure for detection of a change in observation via Martingale approach en_US
dc.parent KMITL Science Journal en_US
dc.journal.volume 6 en_US
dc.journal.number 2a en_US
dc.publocation Ladkrabang, Thailand en_US
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 en_US
dc.personcode 10351512 en_US
dc.personcode 991062 en_US
dc.percentage 40 en_US
dc.classification.name Stochastic Analysis and Modelling en_US
dc.classification.type FOR-08 en_US
dc.description.keywords EWMA, Martingale approach, first passage time, AR (1) process, average run length, average delay, overshoot en_US
dc.staffid 991062 en_US


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