An accurate evaluation of adaptive exponentially weighted moving average schemes

Wenpo Huang, Lianjie Shu and Yan Su

IISE Transactions, 2014, vol. 46, issue 5, 457-469

Abstract: As a natural generalization of the conventional Exponentially Weighted Moving Average (EWMA) monitoring scheme, the Adaptive EWMA (AEWMA) scheme has received a great deal of attention. The Markov chain method was originally used to approximate the average run length performance of the AEWMA chart; however, this method may suffer from the issue of slow convergence and unstable approximation due to kernel discontinuity. In order to overcome this issue, this article extends the piecewise collocation method and the Clenshaw–Curtis (CC) quadrature (method) to the evaluation of AEWMA chart performance. It is shown that both the collocation and CC quadrature methods are very competitive and can provide more accurate and fast approximation to the run length performance of AEWMA charts than the conventional Markov chain approach.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/0740817X.2013.803642 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uiiexx:v:46:y:2014:i:5:p:457-469

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uiie20

DOI: 10.1080/0740817X.2013.803642

Access Statistics for this article

IISE Transactions is currently edited by Jianjun Shi

More articles in IISE Transactions from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().