The Performance of CUSUM Control Chart for Monitoring Process Mean for Autoregressive Moving Average with Exogenous Variable Model

Authors

  • Wilasinee Peerajit Department of Applied Statistics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok, Thailand
  • Yupaporn Areepong Department of Applied Statistics, Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok, Thailand

DOI:

https://doi.org/10.14416/j.asep.2020.11.007

Keywords:

Explicit formulas, Average Run Length (ARL), ARMAX(p,q,r)) process, Exponential white noise

Abstract

The objective of this study was to derive explicit formulas for the average run length (ARL) of an autoregressive moving average with an exogenous variable (ARMAX(p,q,r)) process with exponential white noise on a cumulative sum (CUSUM) control chart. To check the accuracy of the ARL derivations, the efficiency of the proposed explicit formulas was compared with a numerical integral equation (NIE) method in terms of the absolute percentage error. There was excellent agreement between the two methods, but when comparing their computational times, the explicit formulas only required 1 second whereas the NIE method required 599.499–835.891 s. In addition, real-world application of the derived explicit formulas was illustrated using Hong Kong dollar exchange rates data with an exogenous variable (the US dollar) to evaluate the ARL of an ARMAX (p,q,r) process on a CUSUM control chart.

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Published

2021-10-20

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Research Articles