Numerical Integral Equation Method Research Articles

Performance Evaluation of HWMA Control Chart based on AR(p) with Trend Model to Detect Shift Process Mean

The main goal of this study is to establish explicit solutions for the average run length (ARL) of the Homogenously Weighted Moving Average control chart when subjected to autoregressive with trend process. The accuracy of the explicit formula for the ARL is evaluated in comparison to the numerical integral equation method. To evaluate the two approaches, the accuracy percentage was employed. A determination is carried out of the HWMA control chart’s effectiveness using the median run length (MRL), the standard deviation of run length (SDRL), and the average run length (ARL). A comprehensive comparison is performed between the HWMA control chart, the Extended Exponentially Weighted Moving Average (EEWMA), and the cumulative sum (CUSUM) control charts with mean process shifts to illustrate the design and implementation of the HWMA control chart. As criteria for various values of design parameters, the performance of these control charts can also be evaluated using the relative mean index (RMI), the average extra quadratic loss (AEQL), and the performance comparison index (PCI). To evaluate the effectiveness of our explicit formula approach, we employ this formula on copper price data.

Exact Average Run Length Evaluation on One-Sided and Two-Sided Extended EWMA Control Chart with Correlated Data

The Extended Exponentially Weighted Moving Average (Extended EWMA) control chart is one of the control charts that can rapidly detect a minor shift. Using the average run length (ARL), the control charts' effectiveness can be evaluated. This research aims to derive the explicit formulations for the ARL on one-sided and two-sided Extend EWMA control charts for the MA(1) model with exponential white noise, as they have not been previously presented. The analytical solution accuracy was determined and compared to the numerical integral equation (NIE) method. The results indicate that the ARL calculated using the explicit formula and the NIE method are nearly identical, demonstrating the validity of the explicit formula. In addition, this study is extended to compare the performance with the Exponentially Weighted Moving Average (EWMA) control chart. The results show that the Extended EWMA control chart has superior efficacy to the EWMA control chart. To demonstrate the efficacy of the proposed method, the analytical solution of ARL is finally applied to real-world data on Thailand's monthly fuel price.

Performance Measurement of a DMEWMA Control Chart on an AR(p) Model with Exponential White Noise

The double-modified exponentially weighted moving average (DMEWMA) control chart running an autoregressive (AR) process is proposed to detect unusual events. The AR equation and the DMEWMA statistic are combined to evaluate the control limit of the exponential residual term to obtain the explicit formula for the average run length (ARL). The ARLs computed using the explicit formula approach and the well-established numerical integral equation method were compared to validate the former. The efficiencies of the original EWMA, MEWMA, and DMEWMA control charts running AR processes based on simulation and real data were compared by using the results of ARL and relative mean index calculations. The results indicate that the explicit formula for the ARL of an AR process running on a double-modified EWMA control chart detected changes more quickly than on either of the other two control charts for small and moderate changes. Finally, real data on COVID-19 is provided to demonstrate the application of this explicit formula.

Trend Autoregressive Model Exact Run Length Evaluation on a Two-Sided Extended EWMA Chart

The Extended Exponentially Weighted Moving Average (extended EWMA) control chart is one of the control charts and can be used to quickly detect a small shift. The performance of control charts can be evaluated with the average run length (ARL). Due to the deriving explicit formulas for the ARL on a two-sided extended EWMA control chart for trend autoregressive or trend AR(p) model has not been reported previously. The aim of this study is to derive the explicit formulas for the ARL on a two-sided extended EWMA control chart for the trend AR(p) model as well as the trend AR(1) and trend AR(2) models with exponential white noise. The analytical solution accuracy was obtained with the extended EWMA control chart and was compared to the numerical integral equation (NIE) method. The results show that the ARL obtained by the explicit formula and the NIE method is hardly different, but the explicit formula can help decrease the computational (CPU) time. Furthermore, this is also expanded to comparative performance with the Exponentially Weighted Moving Average (EWMA) control chart. The performance of the extended EWMA control chart is better than the EWMA control chart for all situations, both the trend AR(1) and trend AR(2) models. Finally, the analytical solution of ARL is applied to real-world data in the health field, such as COVID-19 data in the United Kingdom and Sweden, to demonstrate the efficacy of the proposed method.

Developing Average Run Length for Monitoring Changes in the Mean on the Presence of Long Memory under Seasonal Fractionally Integrated MAX Model

The cumulative sum (CUSUM) control chart can sensitively detect small-to-moderate shifts in the process mean. The average run length (ARL) is a popular technique used to determine the performance of a control chart. Recently, several researchers investigated the performance of processes on a CUSUM control chart by evaluating the ARL using either Monte Carlo simulation or Markov chain. As these methods only yield approximate results, we developed solutions for the exact ARL by using explicit formulas based on an integral equation (IE) for studying the performance of a CUSUM control chart running a long-memory process with exponential white noise. The long-memory process observations are derived from a seasonal fractionally integrated MAX model while focusing on X. The existence and uniqueness of the solution for calculating the ARL via explicit formulas were proved by using Banach's fixed-point theorem. The accuracy percentage of the explicit formulas against the approximate ARL obtained via the numerical IE method was greater than 99%, which indicates excellent agreement between the two methods. An important conclusion of this study is that the proposed solution for the ARL using explicit formulas could sensitively detect changes in the process mean on a CUSUM control chart in this situation. Finally, an illustrative case study is provided to show the efficacy of the proposed explicit formulas with processes involving real data.

Iterative Numerical Methods for a Fredholm–Hammerstein Integral Equation with Modified Argument

Iterative processes are a powerful tool for providing numerical methods for integral equations of the second kind. Integral equations with symmetric kernels are extensively used to model problems, e.g., optimization, electronic and optic problems. We analyze iterative methods for Fredholm–Hammerstein integral equations with modified argument. The approximation consists of two parts, a fixed point result and a quadrature formula. We derive a method that uses a Picard iterative process and the trapezium numerical integration formula, for which we prove convergence and give error estimates. Numerical experiments show the applicability of the method and the agreement with the theoretical results.

Numerical Methods for Integral Equations of the Second Kind with NonSmooth Solutions of Bounded Variation

Numerical Methods for Integral Equations of the Second Kind with NonSmooth Solutions of Bounded Variation

Approximation of average run length on extended EWMA control chart for autoregressive process with explanatory variables using numerical integral equation method

The objective of this research is to study numerical integral equation method (NIE) using five quadrature rules namely, composite midpoint rule, composite trapezoidal rule, composite Simpson’s rule, composite Boole’s rule and Gauss-Legendre rule for approximating the average run length on extended exponentially weighted moving average (extended EWMA) control chart for autoregressive process with explanatory variables when white noise follows an exponential distribution. Furthermore, the comparison on performance of classical EWMA and extended EWMA control chart had been conducted. The results show that extended EWMA control chart can detect changes quicklier than EWMA control chart for all conditions.

Detection Sensitivity of a Modified EWMA Control Chart with a Time Series Model with Fractionality and Integration

Among the many statistical process control charts, the modified exponentially weighted moving average (EWMA) control chart has been designed to swiftly detect a small shift in a process parameter. Herein, we propose two explicit formulas for the average run length (ARL) for integrated moving average (IMA) and fractional integrated moving average (FIMA) models combined with the modified EWMA control chart for time series prediction. The application of the suggested control chart procedures depends on the residuals of the IMA and FIMA models. The performance of the control chart with both models is evaluated by using the ARL. Explicit formulas for the ARL for the two models with the modified EWMA statistic are derived and their precision is compared with the numerical integral equation method. The explicit formulas could accurately predict the true ARL while markedly decreasing the computational processing time compared to the numerical integration method. The capabilities of the IMA and FIMA models with the modified EWMA control chart were studied by varying g times the last term and exponential smoothing parameter λ, with the relative mean index being used to evaluate these situations. The results show that the modified EWMA control chart with either model performed better than the original EWMA control chart. Furthermore, the modified EWMA control chart with either model was highly efficient when g increased and λ was small. Two applications involving energy commodity prices are used to illustrate the efficacies of the proposed approaches, the results of which were in accordance with the experimental study. Doi: 10.28991/ESJ-2022-06-05-015 Full Text: PDF

Performance of the CUSUM Control Chart Using Approximation to ARL for Long- Memory Fractionally Integrated Autoregressive Process with Exogenous Variable

The cumulative sum (CUSUM) control chart is a well-known process monitoring tool that is sensitive to small-to-moderate changes in process parameters. In this paper, we propose an approximated average run length (ARL) method based on the numerical integral equation (NIE) method for monitoring the mean of a long-memory autoregressive fractionally integrated process with an exogenous variable (ARFIX) running on a CUSUM control chart. The approximated ARL based on the NIE method is realized by solving a system of linear equations and integration based on the partitioning and summation of the area under the curve of a function derived by using the Gauss-Legendre quadrature. In a comparative study with the ARL based on analytical formulas, the proposed approximated ARL method could detect shifts of various sizes in the process mean of an ARFIX process running on a CUSUM control chart. In addition, the proposed method was compared with their analytical formulas in terms of the relative percentage change (r%) to verify the accuracy of the ARL results. The results revealed that the ARL results obtained from the NIE method are an approach to analytical formulas with r% of less than 0.25. Hence, the NIE method is very accurate and in excellent agreement with the analytical formulas approach. Apparently, the NIE method is an alternative as efficiently as the analytical method for this situation. It also performed well in comparison with the approximated ARL for the same process running on an exponentially weighted moving average control chart. In addition, real datasets are also used to demonstrate the efficacy of the proposed method.

Exact Run Length Computation on EWMA Control Chart for Stationary Moving Average Process with Exogenous Variables

The exponentially weighted moving average (EWMA) control chart is a popular tool used to monitor and identify slight unnatural variations in the manufacturing, industrial, and service processes. In general, control charts operate under the assumption of normality observation of the attention quality feature, but it is not easy to maintain this assumption in practice. In such situations, the data of random processes are correlated data, such as stock price in the economic field or air pollution data in the environment field. The characteristics and performance of the control chart are measured by the average run length (ARL). In this article, we present the new explicit formula of ARL for EWMA control chart based on MAX(q,r) process. The proposed explicit formula of ARL for the MAX(q,r) process is proved using the Fredholm integral equation technique. Moreover, ARL values are also assessed using the numerical integral equations method based on Gaussian, midpoint, and trapezoidal rules. Banach's fixed point theorem guarantees the existence and uniqueness of the solution. Furthermore, the accuracy of the proposed explicit formula is assessed in absolute percentage relative error compared with the numerical integral equations method. The results found that the explicit formula's ARL values are similar to those obtained using the numerical integral equation method; the absolute percentage relative errors are less than 0.0001 percent. As a result, the essential conclusion is that the explicit formula outperforms the numerical method in computational time. Consequently, the proposed explicit formula and the numerical integral equation have been the alternative approaches for computing ARL values of the EWMA control chart. They would be applied in various fields, including economics, environment, biology, engineering, and others.

Integral equation solutions for the average run length for monitoring shifts in the mean of a generalized seasonal ARFIMAX(P, D, Q, r)s process running on a CUSUM control chart.

The CUSUM control chart is suitable for detecting small to moderate parameter shifts for processes involving autocorrelated data. The average run length (ARL) can be used to assess the ability of a CUSUM control chart to detect changes in a long-memory seasonal autoregressive fractionally integrated moving average with exogenous variable (SARFIMAX) process with underlying exponential white noise. Herein, new ARLs via an analytical integral equation (IE) solution as an analytical IE and a numerical IE method to test a CUSUM control chart's ability to detect a wide range of shifts in the mean of a SARFIMAX(P, D, Q, r)s process with underlying exponential white noise are presented. The analytical IE formulas were derived by using the Fredholm integral equation of the second type while the numerical IE method for the approximate ARL is based on quadrature rules. After applying Banach's fixed-point theorem to guarantee its existence and uniqueness, the precision of the proposed analytical IE ARL was the same as the numerical IE method. The sensitivity and accuracy of the ARLs based on both methods were assessed on a CUSUM control chart running a SARFIMAX(P, D, Q, r)s process with underlying exponential white noise. The results of an extensive numerical study comprising the examination of a wide variety of out-of-control situations and computational schemes reveal that none of the methods outperformed the IE. Specifically, the computational scheme is easier and can be completed in one step. Hence, it is recommended for use in this situation. An illustrative example based on real data is also provided, the results of which were found to be in accordance with the research results.

Exact Run Length Evaluation on Extended EWMA Control Chart for Autoregressive Process

Extended Exponentially Weighted Moving Average (Extended EWMA or EEWMA) control chart is one of the control charts which can quickly detect a small shift. The average run length (ARL) measures the performance of control chart. Due to the derivation of the explicit formulas for ARL on the EEWMA control chart for the autoregressive AR(p) process has not previously been reported. The aim of the article is to derive explicit formulas of ARL using a Fredholm integral equation of the second kind on EEWMA control chart for Autoregressive process, as AR(2) and AR(3) processes with exponential white noise. The accuracy of the solution obtained with the EEWMA control chart was compared to the numerical integral equation (NIE) method and extended to compare performance with Cumulative Sum (CUSUM) and Exponentially Weighted Moving Average (EWMA) control charts. The results show that the ARL obtained by the explicit formula and the NIE method are hardly different but ARL of explicit formula is less the computational (CPU) time than ARL of NIE method. The performance of EEWMA control chart is better than the CUSUM and EWMA control charts for all situations except when the large shift sizes the EEWMA control chart performed as well as the EWMA control chart for AR(2) and AR(3) processes. And then, the EEWMA control chart is also extended to compare efficiency of EEWMA control chart with various λ. An exponential smoothing parameter of 0.05 is recommended. In addition, the simulation study, and efficacy illustration with real data on new COVID-19 cases in Thailand and Vietnam provided similar results.

Computation of ARL on a CUSUM Control Chart for a Long-Memory Seasonal Autoregressive Fractionally Integrated Process with Exogenous Variables

The aim of this study is to derive explicit formulas for the average run length (ARL) of a long-memory seasonal autoregressive fractionally integrated model with exogenous variables process on a cumulative sum (CUSUM) control chart with exponential white noise. The efficiency of the proposed explicit formulas was compared with a numerical integral equation (NIE) method via the relative percentage change to determine the accuracies of the ARL derivations. Although both methods were in good agreement, only 1 second of CPU time was required for the explicit formulas while 32-35 minutes were required for the NIE method. Some application examples using real datasets are provided to the detection ability of both methods.

Run length distribution for a modified EWMA scheme fitted with a stationary AR(p) model

A modified exponentially weighted moving average (EWMA) scheme is a quality control chart which can quickly detect small shifts in autocorrelated data. In this article, an explicit formula is presented to calculate the average run length (ARL) for a modified EWMA chart with an autoregressive AR(p) model involving exponential white noise. Its performance is compared with a numerical integral equation method via a simulation study to determine whether the explicit formula can help decrease the processing time. Moreover, this scheme is tested against a classical EWMA control chart using the ARL and RMI results. Finally, the explicit formula for ARL is applied to a real numerical example from the health field to demonstrate the efficacy of our method.

Numerical Methods for Integral Equations of the Second Kind With Non-Smooth Solutions of Bounded Variation

Numerical Methods for Integral Equations of the Second Kind With Non-Smooth Solutions of Bounded Variation

An Approximation to the Average Run Length on a CUSUM Control Chart with a Numerical Integral Equation Method for a Long-Memory ARFIMAX Model

An Approximation to the Average Run Length on a CUSUM Control Chart with a Numerical Integral Equation Method for a Long-Memory ARFIMAX Model

The performance of a modified EWMA control chart for monitoring autocorrelated PM2.5 and carbon monoxide air pollution data.

PM2.5 (particulate matter less than or equal to 2.5 micron) is found in the air and comprises dust, dirt, soot, smoke, and liquid droplets. PM2.5 and carbon monoxide emissions can have a negative impact on humans and animals throughout the world. In this paper, we present the performance of a modified exponentially weighted moving average (modified EWMA) control chart to detect small changes when the observations are autocorrelated with exponential white noise through the average run length evaluated (ARLs) by explicit formulas. The accuracy of the solution was verified with a numerical integral equation method. The efficacy of the modified EWMA control chart to monitor PM2.5 and carbon monoxide air pollution data and compare its performance with the standard EWMA control chart. The results suggest that the modified EWMA control chart is far superior to the standard one.

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

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.

Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model

ABSTRACTThis paper aims to derive explicit analytical solutions for Average Run Length (ARL) of CUSUM chart for the SARFIMA(P,D,Q)S process with exponential white noise. Measurement of performance was done with the ARL in terms of percentage error and CPU time. The results obtained from the explicit formulas were compared focusing on the performance using the numerical integral equation (NIE) method. Both methods had similarly excellent agreement with the percentage error at less than 0.25%. Meanwhile, the explicit formulas consumed less CPU time than the NIE method. It is clear that the explicit formulas are a good alternative in real applications.