Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model

DOI10.1080/03610918.2021.1958847OpenAlexW3192634934MaRDI QIDQ6082991

Saowanit Sukparungsee, Yupaporn Areepong, Piyatida Phanthuna

Publication date: 7 December 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1958847

zbMATH Keywords

integral equationautoregressive modelexplicit formulaaverage run lengthmodified EWMA

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Numerical methods for integral equations (65R20) Fredholm integral equations (45B05)

Cites Work

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• Estimation of the first-order autoregressive model with contaminated exponential white noise
• On the efficiency of regression analysis with AR(p) errors
• A Statistical Control Chart for Stationary Process Data
• EWMA and industrial applications to feedback adjustment and control
• Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model
• Detecting mean increases in Poisson INAR(1) processes with EWMA control charts
• Average run length of the long-memory autoregressive fractionally integrated moving average process of the exponential weighted moving average control chart
• The Kolmogorov-Smirnov Test for Goodness of Fit

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