Improving Sensitivity of the DEWMA Chart with Exact ARL Solution under the Trend AR(p) Model and Its Applications

Abstract

The double exponentially weighted moving average (DEWMA) chart is a control chart that is a vital analytical tool for keeping track of the quality of a process, and the sensitivity of the control chart to the process is evaluated using the average run length (ARL). Herein, the aim of this study is to derive the explicit formula of the ARL on the DEWMA chart with the autoregressive with trend model and its residual, which is exponential white noise. This study shows that this proposed method was compared to the ARL derived using the numerical integral equation (NIE) approach, and the explicit ARL formula decreased the computing time. By changing exponential parameters that were relevant to evaluating in various circumstances, the sensitivity of AR(p) with the trend model with the DEWMA chart was investigated. These were compared with the EWMA and CUSUM charts in terms of the ARL, standard deviation run length (SDRL), and median run length (MRL). The results indicate that the DEWMA chart has the highest performance, and when it was small, the DEWMA chart had high sensitivity for detecting processes. Digital currencies are utilized to demonstrate the efficacy of the proposed method; the results are consistent with the simulated data. Doi: 10.28991/ESJ-2023-07-06-03 Full Text: PDF