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Köhler, Katja; Eger, Karl-Heinz : Computation of characteristics for one-sided CUSUM procedures

Köhler, Katja ; Eger, Karl-Heinz : Computation of characteristics for one-sided CUSUM procedures

Author(s):
Köhler, Katja
Eger, Karl-Heinz
Title:
Computation of characteristics for one-sided CUSUM procedures
Preprint series:
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 7, 2004
Mathematics Subject Classification:
62L10 [ Sequential analysis ]
62F03 [ Hypothesis testing ]
Abstract:
This paper deals with continuous inspection schemes in terms of CUSUM procedures. They can be considered as a sequence of sequential likelihood ratio tests. For these tests we present a method for the exact computation of the OC-function, the ASN-function and their derivatives for integer-valued random variables. This method is then applied in a modified manner to the computation of the characteristics of the corresponding CUSUM procedures. Then these investigations are extended to continuous random variables. We consider corresponding integral equations for the average run length and the derivative of the average run length, respectively. We present a statistically orientated approximation method for solving these integral equations.
Keywords:
Sequential analysis, Sequential likelihood ratio tests, OC-function, ASN-function, Continuous inspection schemes, CUSUM procedures, Average run length
Language:
German
Publication time:
4 / 2004