On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures

DOI10.1081/SQA-200027051MaRDI QIDQ3155696zbMATH OpenOpenAlexFDO

Authors Rasul A. Khan, M. K. Khan

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-200027051

zbMATH Keywords

average run lengthgenerating functionsLaplace transformsARLWald's identity

Mathematics Subject Classification ID

Sequential statistical analysis (62L10)

Recommendations

• scientific article; zbMATH DE number 3864323
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• SPRT and CUSUM in hidden Markov models
• Sprt and cusum results for inverse gaussian processes
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• A note on approximating distribution functions of cusum and cusumsq tests
• On the optimality of the sprt for processes with continuous time parameter

Cites work

• scientific article; zbMATH DE number 192907 (Why is no real title available?)
• A Control Chart Based on Cumulative Scores
• A note on Page's two-sided cumulative sum procedure
• Detecting changes in probabilities of a multi—component process
• On a unified approach to the analysis of two-sided cumulative sum control schemes with headstarts
• Optimal stopping times for detecting changes in distributions
• Regenerative Simulation for Estimating Extreme Values
• Some first passage problems related to cusum procedures
• Some martingales related to cumulative sum tests and single-server queues
• The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
• Trading Securities Using Trailing Stops
• Wald's approximations to the average run length in cusum procedures

Cited in

(6)

• scientific article; zbMATH DE number 3864323 (Why is no real title available?)
• A decision theoretic approach to change point estimation for binomial CUSUM control charts
• SPRT and CUSUM in hidden Markov models
• A note on efficient performance evaluation of the cumulative sum chart and the sequential probability ratio test
• Distributional Properties of CUSUM Stopping Times
• Distributional Properties of CUSUM Stopping Times and Stopped Processes

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