Adaptive exponentially weighted moving average schemes using a Kalman filter

Two adaptive exponentially weighted moving average control schemes are proposed. The weighting coefficient is updated using a Kalman filter algorithm. The 2 test statistics incorporate an integral error term. Simulated average run lengths indicate that the proposed schemes are sensitive to small pro...

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Veröffentlicht in:	IIE transactions 1990-12, Vol.22 (4), p.361-369
Hauptverfasser:	FARIS HUBELE, N, CHANG, S. I
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied sciences Computer science control theory systems Control theory Control theory. Systems Exact sciences and technology Mathematical models Operations research Process controls Simulation
Online-Zugang:	Volltext
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