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An Explicit Expression of Average Run Length of Exponentially Weighted Moving Average Control Chart with ARIMA (p,d,q)(P, D, Q)L Models

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Submitted:

14 August 2016

Posted:

15 August 2016

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Abstract
In this paper we propose the explicit formulas of Average Run Length (ARL) of Exponentially Weighted Moving Average (EWMA) control chart for Autoregressive Integrated Moving Average: ARIMA (p,d,q) (P, D, Q)L process with exponential white noise. To check the accuracy, the ARL results were compared with numerical integral equations based on the Gauss-Legendre rule. There was an excellent agreement between the explicit formulas and the numerical solutions. Additionally, we compared the computational time between our explicit formulas for the ARL with the one obtained via Gauss-Legendre numerical scheme. The computational time for the explicit formulas was approximately one second that is much less than the numerical approximations. The explicit analytical formulas for evaluating ARL0 and ARL1 can produce a set of optimal parameters which depend on the smoothing parameter (λ) and the width of control limit (H), for designing an EWMA chart with a minimum ARL1.
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Subject: Computer Science and Mathematics  -   Applied Mathematics
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
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