Document Type

Report

Date

3-3-2010

Embargo Period

9-1-2010

Keywords

Average Run Length, Change Detection, Moving Average, Filtered Derivative, Control Charts

Language

English

Disciplines

Computer Engineering | Electrical and Computer Engineering

Description/Abstract

Among the various procedures used to detect potential changes in a stochastic process the moving sum algorithms are very popular due to their intuitive appeal and good statistical performance. One of the important design parameters of a change detection algorithm is the expected interval between false positives, also known as the average run length (ARL). In this paper, we have derived closed form expressions of ARL for two special cases - namely the two-span moving sum and filtered derivative algorithms. We have assumed that the random variables are uniformly distributed.

Source

local input

 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.