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Technometrics Volume 25, 1983 - Issue 3
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Original Articles

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

William H. Woodall Department of Mathematics and Statistics, University of Southwestern Louisiana, Lafayette, LA, 70504
Pages 295-301 | Published online: 23 Mar 2012
 
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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.

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