Average Run Length, Change Detection, Moving Average, Filtered Derivative, Control Charts
Computer Engineering | Electrical and Computer Engineering
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.