On the Markov Chain Approach to the Two-Sided CUSUM Procedure
作者:
WilliamH. Woodall,
期刊:
Technometrics
(Taylor Available online 1984)
卷期:
Volume 26,
issue 1
页码: 41-46
ISSN:0040-1706
年代: 1984
DOI:10.1080/00401706.1984.10487920
出版商: Taylor & Francis Group
关键词: Cumulative sum;Run length distribution;Primitive matrix;Markov chain applications
数据来源: Taylor
摘要:
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.
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