Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal Design and Analysis of the Exponentially Weighted Moving Average
  Chart for Exponential Data   We study optimal design of the Exponentially Weighted Moving Average (EWMA)
chart by a proper choice of the smoothing factor and the initial value
(headstart) of the decision statistic. The particular problem addressed is that
of quickest detection of an abrupt change in the parameter of a discrete-time
exponential model. Both pre- and post-change parameter values are assumed
known, but the change-point is not known. For this change-point detection
scenario, we examine the performance of the conventional one-sided EWMA chart
with respect to two optimality criteria: Pollak's minimax criterion associated
with the maximal conditional expected delay to detection and Shiryaev's
multi-cyclic setup associated with the stationary expected delay to detection.
Using the integral-equations approach, we derive the exact closed-form formulae
for all of the required performance measures. Based on these formulae we find
the optimal smoothing factor and headstart by solving the corresponding two
bivariate constraint optimization problems. Finally, the performance of the
optimized EWMA chart is compared against that of the Shiryaev--Roberts--$r$
procedure in the minimax setting, and against that of the original
Shiryaev--Roberts procedure in the multi-cyclic setting. The main conclusion is
that the EWMA chart, when fully optimized, turns out to be a very competitive
procedure, with performance nearly indistinguishable from that of the
known-to-be-best Shiryaev--Roberts--$r$ and Shiryaev--Roberts procedures.

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The categories of this paper are: math
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The categories of this paper are: cond-mat
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The categories of this paper are: q-fin
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The categories of this paper are: hep-th
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The categories of this paper are: adap-org
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The categories of this paper are: chao-dyn
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The categories of this paper are: acc-phys
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The categories of this paper are: physics
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The categories of this paper are: nlin
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The categories of this paper are: eess
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The categories of this paper are: cmp-lg
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The categories of this paper are: funct-an
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The categories of this paper are: econ
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The categories of this paper are: cs
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The categories of this paper are: astro-ph
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The categories of this paper are: bayes-an