205
1 51 101 151 201 251 301 351 401 451
Observation Number (t)
Table 2. Arerage Run Lengths for the Rules in Table 1
Shift |
Prediction Error EWMA Signal Number Lambda = 0.4 with Tracking Signal (2 in a row) |
CUSUM Signal Number for H = 5ct and K = la |
CUSUM Signal Number for H = 5ct and K = 2a |
1 |
71.632 |
8.5784 |
12.552 |
(1.42571) |
(1.04987) |
(5.9139) | |
*130 Did not Signal |
*1592 Did not Signal |
*1830 Did not Signal | |
2 |
65.889 |
6.390 |
13.583 |
(1.56149) |
(0.58694) |
(7.68517) | |
*114 Did not Signal |
*1668 Did not Signal |
* 1986 Did not Signal | |
5 |
41.671 |
2.153 |
77 |
(2.01005) |
(0.11104) |
(3.71683) | |
*80 Did not Signal |
*1708 Did not Signal |
*1986 Did not Signal | |
7.5 |
19.1988 |
2.1808 |
1 |
(0.92604) |
(0.84648) |
(0) | |
*39 Did not Signal |
*1729 Did not Signal |
* 1992 Did not Signal | |
10 |
5.608 |
1 |
1 |
(0.46640) |
(0) |
(0) | |
*7 Did not Signal |
*1741 Did not Signal |
*1995 Did not Signal |