Table 5.

Comparative analysis based on run length profile for p = 3.

δ		ARL	SDRL	P5th	P10th	P25th	P50th	P75th	P90th	P95th
0.25	EWMA	3.70	0.73	3	3	3	4	4	5	5
	AEWMA-I	2.82	0.82	2	2	2	3	3	4	4
0.50	EWMA	8.03	3.31	4	5	6	7	10	12	14
	AEWMA-I	6.16	2.69	2	3	4	6	7	10	11
0.75	EWMA	38.51	31.40	8	10	16	29	51	79	100
	AEWMA-I	23.19	14.94	5	7	11	20	32	44	51
0.80	EWMA	63.14	56.44	9	13	24	46	85	136	174
	AEWMA-I	33.40	21.89	6	8	16	30	46	63	75
0.85	EWMA	113.56	106.91	12	18	38	81	155	253	327
	AEWMA-I	50.82	34.21	7	11	25	45	70	97	115
0.92	EWMA	269.94	262.35	19	34	82	190	373	611	797
	AEWMA-I	113.31	87.33	10	21	50	94	155	228	282
0.95	EWMA	363.10	356.22	23	43	108	254	501	831	1077
	AEWMA-I	188.16	163.58	14	31	73	144	255	399	513
0.97	EWMA	400.82	396.42	26	27	119	280	550	919	1189
	AEWMA-I	276.88	260.64	16	38	94	200	379	618	795
1.00	EWMA	370.72	362.45	24	44	111	260	514	845	1095
	AEWMA-I	370.37	358.69	19	46	117	262	511	838	1084
1.03	EWMA	276.17	269.44	20	35	85	194	379	629	817
	AEWMA-I	252.80	222.24	18	40	95	193	346	541	689
1.05	EWMA	215.87	209.42	17	29	67	152	295	491	631
	AEWMA-I	179.51	146.03	16	33	75	144	243	371	467
1.08	EWMA	145.53	138.30	14	21	47	103	199	325	420
	AEWMA-I	116.82	86.65	13	25	54	98	159	232	284
1.10	EWMA	115.24	107.31	12	19	38	83	157	257	329
	AEWMA-I	92.22	66.20	11	21	44	79	126	180	219
1.15	EWMA	67.53	60.38	9	13	25	49	91	147	188
	AEWMA-I	57.17	39.31	8	14	28	50	78	110	132
1.30	EWMA	23.52	17.99	5	7	11	18	31	47	59
	AEWMA-I	22.94	15.24	5	7	11	20	31	44	52
1.75	EWMA	7.14	3.86	3	3	4	6	9	12	15
	AEWMA-I	6.87	3.91	3	3	4	6	9	12	15
3.50	EWMA	2.59	0.85	2	2	2	2	3	4	4
	AEWMA-I	2.39	0.78	2	2	2	2	3	3	4

Significant values are in bold.