Distributional Properties of CUSUM Stopping Times

DOI10.1080/07474940802446178zbMath1149.62068OpenAlexW2154303885MaRDI QIDQ3543505

Rasul A. Khan

Publication date: 4 December 2008

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940802446178

zbMATH Keywords

generating functionstopping timeLaplace distributiongeometriccumulative sum (CUSUM)trading securities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical methods (62L99) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items

Drawdown analysis for the renewal insurance risk process ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups ⋮ A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model ⋮ Distributional Properties of CUSUM Stopping Times and Stopped Processes ⋮ A decision theoretic approach to change point estimation for binomial CUSUM control charts

Cites Work

• A stopped Brownian motion formula
• Some martingales related to cumulative sum tests and single-server queues
• Wald's approximations to the average run length in cusum procedures
• On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
• Regenerative Simulation for Estimating Extreme Values
• The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables
• On a unified approach to the analysis of two-sided cumulative sum control schemes with headstarts
• The probability distribution and the expected value of a stopping variable associated with one-sided cusum procedures for non-negative integer valued random variables
• A note on Page's two-sided cumulative sum procedure
• Trading Securities Using Trailing Stops
• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

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