Distributional Properties of CUSUM Stopping Times
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Publication:3543505
DOI10.1080/07474940802446178zbMath1149.62068MaRDI QIDQ3543505
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
generating function; stopping time; Laplace distribution; geometric; cumulative sum (CUSUM); trading securities
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P30: Applications of statistics in engineering and industry; control charts
62L99: Sequential statistical methods
62L10: Sequential statistical analysis
62L15: Optimal stopping in statistics
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 decision theoretic approach to change point estimation for binomial CUSUM control charts, 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
Cites Work
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- 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
