Simulation Result of a Bivariate CUSUM Procedure

摘要：

In this paper, we investigate a bivariate CUSUM procedure. The expectation of the run length for a bivariate distributions is studied. Both analytical and simulation results of the ARL and variance are given.

关键词： CUSUM procedure run length ARL markov chain transition probability matrix

作者: LI Hongcheng

作者单位: Applied Mathematical Science Department, Shanghai Finance University, Shanghai, P.R.China, 201209

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 412-415

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）