Integral equation methods in change-point detection problems
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This paper is an extended abstract for a corresponding PhD thesis. In this thesis, integral equations are used to derive explicit formulas for the average run length (ARL) and average delay time (AD) for CUSUM and EWMA control charts and particular distribution families. In some situations, where no closed form can be obtained, an approximation by hyperexponential distributions can be used. The results are compared with approximations using Monte Carlo simulations.
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Cites work
- A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
- A numerical approach to performance analysis of quickest change-point detection procedures
- Fitting combinations of exponentials to probability distributions
- scientific article; zbMATH DE number 9266 (Why is no real title available?)
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