A minimum cost exponential cusum test

DOI10.1080/03610929508831660MaRDI QIDQ4337114zbMATH OpenOpenAlexFDO

Authors Amy Hancock Boyd

Publication date 19 May 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831660

zbMATH Keywords

CUSUM testexpected costexponential inter-event timesmonitoringserial correlation

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

Recommendations

• Average Run Lengths for CUSUM Schemes When Observations Are Exponentially Distributed
• Analytic and numerical solutions of ARL of CUSUM procedure for exponentially distributed observations
• Exact expression of average run length for two-sided exponential CUSUM procedure
• Decision theoretic optimality of the cusum procedure
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time

Cites work

• First-order autoregressive gamma sequences and point processes
• scientific article; zbMATH DE number 3795247 (Why is no real title available?)
• The Effect of Serial Correlation on the Performance of CUSUM Tests
• Wald's approximations to the average run length in cusum procedures

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