Distributional Properties of CUSUM Stopping Times and Stopped Processes
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Publication:3630049
DOI10.1080/07474940902816767zbMath1294.62172OpenAlexW2053918962MaRDI QIDQ3630049
Publication date: 2 June 2009
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a910709192
Laplace transformdistributiongenerating functionstochastic processasymptoticstopping timesstationary independent increments
Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
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Cites Work
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- A stopped Brownian motion formula
- Exact Determination of the Run Length Distribution of a One-Sided CUSUM Procedure Applied on an Ordinary Poisson Process
- On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
- Distributional Properties of CUSUM Stopping Times
- On Deviations from the Maximum in a Stochastic Process
- A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary
- Some Characteristics of Page's Two-sided Procedure for Detecting a Change in a Location Parameter
- Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses
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