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Quasi-stationarity of CUSUM schemes for Erlang distributions

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Abstract.

Given that no false alarm was made, the CUSUM process behaves like a stationary process. The corresponding transition density is derived for Erlang distributed random variables. Then a representation for the so-called average delay and a geometric approximation for the CUSUM run length distribution is obtained.

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Authors and Affiliations

  1. Department of Statistics, Europe University Viadrina, P.B. 776,, , , , , , XX

    Sven Knoth

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  1. Sven Knoth
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Received May 1997

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Knoth, S. Quasi-stationarity of CUSUM schemes for Erlang distributions. Metrika 48, 31–48 (1998). https://doi.org/10.1007/s001840050003

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  • DOI: https://doi.org/10.1007/s001840050003

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