An Analytical Approach to EWMA Control Chart for AR(1) Process Observations with Exponential White Noise

Authors

  • Wannaporn Suriyakat Department of Applied Statistics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok 10800, Thailand.
  • Yupaporn Areepong Department of Applied Statistics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok 10800, Thailand.
  • Saowanit Sukparungsee Department of Applied Statistics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok 10800, Thailand.
  • Gabriel Mititelu Department of Mathematical Sciences, Faculty of Science, University of Technology, Sydney NSW, 2007, Australia.

Keywords:

AR(1) process, average run length, exponential white noise, exponentially weighted moving average, integral equation

Abstract

We propose analytical solutions to evaluate the characteristic of the control chart - the average run length (ARL) when the process is in-control for EWMA control chart for AR(1) process observations with exponential white noise. We use the integral equation technique to derive an explicit formula for the average run length. In several examples, the analytical solutions are compared with the results obtained from the numerical approximations.

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How to Cite

Suriyakat, W., Areepong, Y., Sukparungsee, S., & Mititelu, G. (2015). An Analytical Approach to EWMA Control Chart for AR(1) Process Observations with Exponential White Noise. Thailand Statistician, 10(1), 40–51. Retrieved from https://ph02.tci-thaijo.org/index.php/thaistat/article/view/34231

Issue

Vol. 10 No. 1 (2012): JANUARY

Section

Articles