Accession Number:

AD0784916

Title:

The Effect of Serial Correlation on the Performance of CUSUM Tests, II,

Descriptive Note:

Corporate Author:

WISCONSIN UNIV MADISON DEPT OF STATISTICS

Personal Author(s):

Report Date:

1974-03-01

Pagination or Media Count:

27.0

Abstract:

The authors continue the study by developing another approximation to the cumulative sums which allows one to study the run length distribution after a level change has occurred. This approximation distribution is doubly important because it also applies to the situation of stable operation when the reference value is such that the terms of the sum have a non-zero mean. The major emphasis here is on the effects on the run length distribution caused by the presence of serial correlation. The approximation introduced holds for first order moving average models and first order autoregressive models and particular attention is paid to these error structures. Modified author abstract

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE