The Effect of Serial Correlation on the Performance of CUSUM Tests, II,
Abstract
The authors continue the study by developing another approximation to the cumulative sums which allows one to study the run length distribution after a level change has occurred. This approximation distribution is doubly important because it also applies to the situation of stable operation when the reference value is such that the terms of the sum have a non-zero mean. The major emphasis here is on the effects on the run length distribution caused by the presence of serial correlation. The approximation introduced holds for first order moving average models and first order autoregressive models and particular attention is paid to these error structures. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1974
- Accession Number
- AD0784916
Entities
People
- Michael Bagshaw
- Richard A. Johnson
Organizations
- University of Wisconsin–Madison