Approximation of Average Run Length of Moving Sum Algorithms Using Multivariate Probabilities

Details Approximation of Average Run Length of Moving Sum Algorithms Using Multivariate Probabilities Approximation of Average Run Length of Moving Sum Algorithms Using Multivariate Probabilities

2009-08-20

arxiv.org/abs/0908.2954v1

Statistics

Methodology

Scientific paper

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). Computation of the ARL usually involves numerical procedures but in some cases it can be approximated using a series involving multivariate probabilities. In this paper, we present an analysis of this series approach by providing sufficient conditions for convergence and derive an error bound. Using simulation studies, we show that the series approach is applicable to moving average and filtered derivative algorithms. For moving average algorithms, we compare our results with previously known bounds. We use two special cases to illustrate our observations.

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