Analytical explicit formulas of average run length for long memory process with ARFIMA model on CUSUM control chart

Analytical explicit formulas of average run length for long memory process with ARFIMA model on CUSUM control chart

This paper proposes the explicit formulas for the derivation of exact formulas from Average Run Lengths (ARLs) using integral equation on CUSUM control chart when observations are long memory processes with exponential white noise. The authors compared efficiency in terms of the percentage of abso...

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Bibliographic Details
Main Authors: Wilasinee Peerajit, Yupaporn Areepong, Saowanit Sukparungsee
Format: Article
Language:English
Published: Prince of Songkla University 2017-12-01
Series:Songklanakarin Journal of Science and Technology (SJST)
Subjects:
ARFIMA(p
d
q) process
numerical integral equation (NIE) method
exponential white noise
Online Access:http://rdo.psu.ac.th/sjstweb/journal/39-6/39-6-11.pdf

Internet

http://rdo.psu.ac.th/sjstweb/journal/39-6/39-6-11.pdf

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