On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures

DOI10.1081/SQA-200027051zbMath1054.62089OpenAlexW2021646308MaRDI QIDQ3155696

Rasul A. Khan, Mohammad Kazim Khan

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sqa-200027051

zbMATH Keywords

generating functionsLaplace transformsaverage run lengthARLWald's identity

Mathematics Subject Classification ID

Sequential statistical analysis (62L10)

Related Items (3)

Distributional Properties of CUSUM Stopping Times ⋮ Distributional Properties of CUSUM Stopping Times and Stopped Processes ⋮ A decision theoretic approach to change point estimation for binomial CUSUM control charts

Cites Work

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• Optimal stopping times for detecting changes in distributions
• Some first passage problems related to cusum procedures
• Some martingales related to cumulative sum tests and single-server queues
• Wald's approximations to the average run length in cusum procedures
• Regenerative Simulation for Estimating Extreme Values
• The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
• On a unified approach to the analysis of two-sided cumulative sum control schemes with headstarts
• A Control Chart Based on Cumulative Scores
• A note on Page's two-sided cumulative sum procedure
• Detecting changes in probabilities of a multi—component process
• Trading Securities Using Trailing Stops

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