Exact Determination of the Run Length Distribution of a One-Sided CUSUM Procedure Applied on an Ordinary Poisson Process

DOI10.1081/SQA-120034107MaRDI QIDQ3155685zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

detection of change pointscumulative sums controldistribution of run lengthstopping times with linear boundaries

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3879889 (Why is no real title available?)
• scientific article; zbMATH DE number 51379 (Why is no real title available?)
• An approach to the probability distribution of cusum run length
• Average Run Lengths for CUSUM Schemes When Observations Are Exponentially Distributed
• CONTINUOUS INSPECTION SCHEMES
• Detection of Failure Rate Increases
• Distributions of stopping times for poisson processes with linear boundaries
• Procedures for Reacting to a Change in Distribution
• Sequential analysis. Tests and confidence intervals
• The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
• Wald's approximations to the average run length in cusum procedures

Cited in

(14)

• The distribution of the run length in CUSUM procedures
• Performance comparison of some likelihood ratio-based statistical surveillance methods
• Review of some functionals of compound Poisson processes and related stopping times
• Exact Risks of Sequential Point Estimators of the Exponential Parameter
• Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
• 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
• CUSUM hypothesis tests and alternative response probabilities for finite Poisson trials
• Distributional Properties of CUSUM Stopping Times and Stopped Processes
• scientific article; zbMATH DE number 775852 (Why is no real title available?)
• Detecting Changes in a Poisson Process Monitored at Unequal Discrete Time Intervals
• scientific article; zbMATH DE number 3885151 (Why is no real title available?)
• scientific article; zbMATH DE number 2205928 (Why is no real title available?)
• The expected value of the one-sided cusum stopping time

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