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Communications in Statistics - Simulation and Computation Volume 22, 1993 - Issue 3
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Original Articles

Simulating the average run length for cusum schemes using variance reduction techniques

Simulating the average run length for cusum schemes

Chi-Hyuck Jun Department of Industrial Engineering, Pohang Institute of Science and Technology, Pohang, 790-600, Korea
&
Moon Soo Choi Department of Industrial Engineering, Pohang Institute of Science and Technology, Pohang, 790-600, Korea
Pages 877-887 | Received 01 Aug 1992, Published online: 27 Jun 2007

References

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  • Lavenberg , S. S. and Welch , P.D. 1981 . “A perspective on the use of control variables to increase the efficiency of Monte Carlo simulations” . Management Science , 27 ( 3 ) : 322 – 335 .
  • Lucas , J. M. 1973 . “A modified “V” mask control scheme” . Technometrics , 15 ( 4 ) : 833 – 847 .
  • Lucas , J. M. 1985 . “Counted dataCUSUM's” . Technometrics , 27 ( 4 ) : 129 – 144 .
  • Nelson , B. L. 1987 . “A perspective on variance reduction in dynamic simulation experiments” . Communications in Statistics - Simulation and Computation , 16 ( 2 ) : 385 – 426 .
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  • Pignatiello , J. J. and Runger , G. C. 1990 . “Comparisons of multivariate CUSUM charts” . Journal of Quality Technology , 22 ( 3 ) : 173 – 186 .
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  • Ross , S. M. 1990 . A Course In Simulation , New York : Macmillian Publishing Co .
  • Vardeman , S. and Ray , D. 1985 . “Average run lengths for CUSUM schemes when observations are exponentially distributed” . Technometrics , 27 ( 2 ) : 145 – 150 .
  • Waldmann , K. H. 1986 . “Bounds for the distribution of the run length of one-sided and two-sided CUSUM quality control schemes” . Technometrics , 28 ( 1 ) : 61 – 67 .
  • Woodall , W. H. 1983 . “The distribution of the run length of one-sided CUSUM procedures for continuous random variables” . Technometrics , 25 ( 3 ) : 295 – 301 .
  • Woodall , W. H. 1984 . “On the Markov chain approach to the two-sided CUSUM procedure” . Technometrics , 26 ( 1 ) : 41 – 46 .
  • Yashchin , E. 1992 . “Analysis of CUSUM and other Markov-type control scheme by using empirical distribution” . Technometrics , 34 ( 1 ) : 54 – 63 .

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