On the Markov Chain Approach to the Two-Sided CUSUM Procedure

Publisher Website
Google Scholar
Abstract
A Markov chain representation is given for the two-sided, possibly asymmetric, cumulative sum (CUSUM) procedure of Ewan and Kemp (1960) for integer-valued random variables. The approach taken by Brook and Evans (1972) for the one-sided CUSUM procedure to determine exact and approximate expressions for the run length distribution, its moments, and its percentage points is extended to the two-sided CUSUM procedure. The number of states included in the Markov chain is minimized in order to make the methods as efftcient as possible.

This publication has 0 references indexed in Scilit: