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Average Run Length Of Two-Span Moving Sum Algorithms, Swarnendu Kar, Kishan G. Mehrotra, Pramod Varshney
Average Run Length Of Two-Span Moving Sum Algorithms, Swarnendu Kar, Kishan G. Mehrotra, Pramod Varshney
Electrical Engineering and Computer Science - All Scholarship
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.
Approximation Of Average Run Length Of Moving Sum Algorithms Using Multivariate Probabilities, Swarnendu Kar, Kishan Mehrotra, Pramod Varshney
Approximation Of Average Run Length Of Moving Sum Algorithms Using Multivariate Probabilities, Swarnendu Kar, Kishan Mehrotra, Pramod Varshney
Electrical Engineering and Computer Science - All Scholarship
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 …