Exact Determination of the Run Length Distribution of a One-Sided CUSUM Procedure Applied on an Ordinary Poisson Process
DOI10.1081/SQA-120034107zbMATH Open1057.60039OpenAlexW2010735735MaRDI QIDQ3155685FDOQ3155685
Authors: S. Zacks 
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-120034107
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detection of change pointscumulative sums controldistribution of run lengthstopping times with linear boundaries
Applications of statistics in engineering and industry; control charts (62P30) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Cites Work
- Sequential analysis. Tests and confidence intervals
- Procedures for Reacting to a Change in Distribution
- CONTINUOUS INSPECTION SCHEMES
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- An approach to the probability distribution of cusum run length
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- Distributions of stopping times for poisson processes with linear boundaries
- The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
- Average Run Lengths for CUSUM Schemes When Observations Are Exponentially Distributed
- Wald's approximations to the average run length in cusum procedures
- Detection of Failure Rate Increases
Cited In (14)
- The expected value of the one-sided cusum stopping time
- Review of some functionals of compound Poisson processes and related stopping times
- A note on optimal stopping for possible change in the intensity of an ordinary Poisson process
- Discussion on ``Detection of intrusions in information systems by sequential change-point methods by Tartakovsky, Rozovskii, Blažek, and Kim
- Exact Risks of Sequential Point Estimators of the Exponential Parameter
- Detecting Changes in a Poisson Process Monitored at Unequal Discrete Time Intervals
- Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
- The distribution of the run length in CUSUM procedures
- Distributional Properties of CUSUM Stopping Times and Stopped Processes
- Performance comparison of some likelihood ratio-based statistical surveillance methods
- Title not available (Why is that?)
- CUSUM hypothesis tests and alternative response probabilities for finite Poisson trials
- Title not available (Why is that?)
- Title not available (Why is that?)
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