Quasi-stationarity of CUSUM schemes for Erlang distributions

Knoth, Sven

doi:10.1007/s001840050003

Quasi-stationarity of CUSUM schemes for Erlang distributions

Publication date

1998-09

Document type

Forschungsartikel

Author

Knoth, Sven

Organisational unit

Europa-Universität Viadrina Frankfurt (Oder)

DOI

10.1007/s001840050003

URI

https://openhsu.ub.hsu-hh.de/handle/10.24405/21918

Publisher

Springer

Series or journal

Metrika

ISSN

0026-1335

Periodical volume

48

Periodical issue

1

First page

31

Last page

48

Part of the university bibliography

Nein

Language

English

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.

Version

Published version

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