The ARIMA(p,d,q) on Upper Sided of CUSUM Procedure

2018 ◽  
Vol 39 (3) ◽  
pp. 424-432
Author(s):  
Lili Zhang ◽  
Piyapatr Busababodhin
Keyword(s):  
Cusum Procedure

A Rank-Based Multivariate CUSUM Procedure

Technometrics ◽  
2001 ◽  
Vol 43 (2) ◽  
pp. 120-132 ◽  
Author(s):  
Peihua Qiu ◽  
Douglas Hawkins
Keyword(s):  
Cusum Procedure

scholarly journals Decision Theoretic Optimality of the Cusum Procedure

1990 ◽  
Vol 18 (3) ◽  
pp. 1464-1469 ◽  
Author(s):  
Y. Ritov
Keyword(s):  
Cusum Procedure

scholarly journals General drawdown of general tax model in a time-homogeneous Markov framework

2021 ◽  
Vol 58 (4) ◽  
pp. 1131-1151
Author(s):  
Florin Avram ◽  
Bin Li ◽  
Shu Li
Keyword(s):  
Markov Process ◽  
Optimal Stopping ◽  
Mathematical Finance ◽  
Levy Processes ◽  
Free Time ◽  
First Passage ◽  
Homogeneous Markov Process ◽  
Cusum Procedure ◽  
Optimal Stopping Problems ◽  
Spectrally Negative Lévy Processes

AbstractDrawdown/regret times feature prominently in optimal stopping problems, in statistics (CUSUM procedure), and in mathematical finance (Russian options). Recently it was discovered that a first passage theory with more general drawdown times, which generalize classic ruin times, may be explicitly developed for spectrally negative Lévy processes [9, 20]. In this paper we further examine the general drawdown-related quantities in the (upward skip-free) time-homogeneous Markov process, and then in its (general) tax process by noticing the pathwise connection between general drawdown and the tax process.

scholarly journals Estimation of Change-point and Post-change Parameters after Adaptive Sequential CUSUM Test in an Exponential Family

2016 ◽  
Vol 5 (5) ◽  
pp. 43 ◽  
Author(s):  
Yanhong Wu
Keyword(s):  
Change Point ◽  
Exponential Family ◽  
River Flow ◽  
Temperature Data ◽  
Nile River ◽  
Data Sets ◽  
Cusum Test ◽  
First Order ◽  
Average Global Temperature ◽  
Cusum Procedure

In this paper, we consider an adaptive sequential CUSUM procedure in an exponential family where the change-point and post-change parameters are estimated adaptively. It is shown that the adaptive CUSUM procedure is efficient at the first order. The conditional biases of the estimation for the change-point and post-change parameter are studied. Comparison with the classical CUSUM procedure in the normal case is made. Nile river flow and average global temperature data sets are used for demonstration.

scholarly journals Optimality of the CUSUM procedure in continuous time

2003 ◽  
Vol 32 (1) ◽  
pp. 302-315 ◽  
Author(s):  
George V. Moustakides
Keyword(s):  
Continuous Time ◽  
Cusum Procedure
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