Analytical approximations for detection of a changepoint
in case of light-tailed distributions

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Analytical approximations for detection of a changepoint in case of light-tailed distributions

We derive analytic approximations for the expectation of exit times of Exponentially Weighted Moving Average (EWMA) procedure by using the martingale technique. Based on this technique, martingale approach is able to adapt to monitoring of changes of light-tailed distributions such as Gaussian, P...

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Bibliographic Details
Main Authors:	Soawanit Sukparungsee, Novikov, Alexander
Format:	Article
Published:	Penerbit ukm 2008
Online Access:	http://journalarticle.ukm.my/1876/

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