Publication Cover
Sequential Analysis
Design Methods and Applications
Volume 27, 2008 - Issue 4
128
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Distributional Properties of CUSUM Stopping Times

Pages 420-434 | Received 30 Sep 2007, Accepted 24 Jun 2008, Published online: 31 Oct 2008

REFERENCES

  • Glynn , P. W. , Iglehart , D. L. ( 1995 ). Trading Securities using Trailing, Stops , Management Science 41 : 1096 – 1106 .
  • Iglehart , D. L. , Stone , M. L. ( 1983 ). Regenerative Simulation for Estimating Extreme Values , Operations Research 6 : 1145 – 1166 .
  • Kemperman , J. H. B. ( 1963 ). A Wiener–Hopf Type Method for a General Random Walk with a Two-Sided Boundary , Annals of Mathematical Statistics 34 : 1168 – 1193 .
  • Kennedy , D. P. ( 1976 ). Some Martingales Related to Cumulative Sum Tests and Single-Server Queues , Stochastic Processes and Their Applications 4 : 261 – 269 .
  • Khan , R. A. ( 1978 ). Wald's Approximations to the Average Run Length in CUSUM Procedures , Journal of Statistical Planning and Inference 2 : 63 – 77 .
  • Khan , R. A. ( 1981 ). A Note on Page's Two-Sided Cumulative Sum Procedure , Biometrika 68 : 217 – 219 .
  • Khan , R. A. ( 1984 ). On Cumulative Sum Procedures and the SPRT with Applications , Journal of Royal Statistical Society, Series B 46 : 79 – 85 .
  • Khan , R. A. ( 1985 ). A Stopped Brownian Motion Formula with Two Barriers , Sankhya, Series A 47 : 285 – 290 .
  • Khan , R. A. , Khan , M. K. ( 2004 ). On the Use of SPRT in Determining the Properties of Some CUSUM Procedures , Sequential Analysis 23 : 355 – 378 .
  • Page , E. S. ( 1954 ). Continuous Inspection Schemes , Biometrika 41 : 100 – 114 .
  • Reynolds , M. R. , Jr. ( 1975 ). Approximations to the Average Run Length in Cumulative Sum Control Charts , Technometrics 8 : 411 – 430 .
  • Taylor , H. M. ( 1975 ). A Stopped Brownian Motion Formula , Annals of Probability 3 : 234 – 246 .
  • Woodall , W. H. ( 1983 ). The Distribution of the Run Length of One-Sided CUSUM Procedures for Continuous Random Variables , Technometrics 25 : 295 – 300 .
  • Yashchin , E. ( 1985 ). On a Unified Approach to the Analysis of Two-Sided Cumulative Sum Control Schemes with Head Starts , Advances in Applied Probability 17 : 562 – 593 .
  • Zacks , S. ( 1981 ). The Probability Distribution and the Expected Value of a Stopping Variable Associated with One-Sided CUSUM Procedures for Non-Negative Integer Valued Random Variables , Communications in Statistics, Series A 10 : 2245 – 2258 .
  • Recommended by Nitis Mukhopadhyay

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.