Distributional Properties of CUSUM Stopping Times

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Publication:3543505


DOI10.1080/07474940802446178zbMath1149.62068OpenAlexW2154303885MaRDI QIDQ3543505

Rasul A. Khan

Publication date: 4 December 2008

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

Full work available at URL: https://doi.org/10.1080/07474940802446178

zbMATH Keywords

generating functionstopping timeLaplace distributiongeometriccumulative sum (CUSUM)trading securities


Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical methods (62L99) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)


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Cites Work

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