The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables

Publisher Website
Google Scholar
Abstract
A method is given for approximating the moments and percentage points of the run length distribution of one-sided CUSUM procedures for continuous random variables. The run length probabilities are calculated recursively using numerical quadrature until the ratio of successive probabilities stabilizes. This ratio and the probabilities of low run length values are then used to approximate parameters of the run length distribution. The accuracy of this method is compared with that of previous methods in examples involving normally distributed random variables.

This publication has 0 references indexed in Scilit: