Approximations to the Average Run Lengths of CUSUM Tests.

Abstract

Simple approximations are given for the average run lengths of CUSUM tests: both with and without the fast initial response feature, and starting from a quasi-stationary state. Numerical examples illustrate the accuracy of the results. Keywords: stopping rules; weak convergence; probability density functions.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1986
Accession Number
ADA172608

Entities

People

  • David Siegmund
  • Moshe Pollak

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Accuracy
  • Algorithms
  • Brownian Motion
  • California
  • Computations
  • Detection
  • Errors
  • Military Research
  • Normal Distribution
  • Probability
  • Probability Density Functions
  • Probability Distributions
  • Statistics
  • United States
  • United States Government
  • Universities
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Aerospace Test and Evaluation
  • Calculus or Mathematical Analysis