| Home  | About ScienceAsia  | Publication charge  | Advertise with us  | Subscription for printed version  | Contact us  
Editorial Board
Journal Policy
Instructions for Authors
Online submission
Author Login
Reviewer Login
Volume 46 Number 2
Volume 46 Number 1
Volume 46S Number 1
Volume 45 Number 6
Volume 45 Number 5
Volume 45 Number 4
Earlier issues
Volume 41 Number 1 Volume 41 Number 2 Volume 41 Number 3

previous article 1

Research articles

ScienceAsia 41 (2015): 141-147 |doi: 10.2306/scienceasia1513-1874.2015.41.141

Exact solution of the average run length for the cumulative sum chart for a moving average process of order q

Kanita Petcharat, Saowanit Sukparungsee, Yupaporn Areepong*

ABSTRACT:     In this paper we use a Fredholm integral equation approach to derive an explicit formula for the average run length (ARL) of a cumulative sum (CUSUM) chart for random observations described by a moving average process of order q (MA(q)) with exponential white noise. We compare the computational times required for calculating the ARL from our exact formula with the computational times required for solving the Fredholm integral equations using a Gauss-Legendre numerical scheme. We find that the computational times are approximately 1 s for the explicit formula and approximately 13 min for the numerical integration scheme.

Download PDF

6 Downloads 646 Views

Department of Applied Statistics, Faculty of Applied Science, King Mongkut's University of Technology North Bangkok, Bangkok 10800 Thailand

* Corresponding author, E-mail: yupaporna@kmutnb.ac.th

Received 13 Apr 2013, Accepted 27 Nov 2014