A Class of Markov Chain Models for Average Run Length Computations for Autocorrelated Processes

DOI10.1080/03610918.2012.667474zbMath1266.93162OpenAlexW2017618089MaRDI QIDQ4929222

Xuan Huang, Søren Bisgaard, Nuo Xu

Publication date: 13 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.667474

zbMATH Keywords

ARMA modelsstatistical process controlMarkov chain model

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

The effect of the autocorrelation on the performance of the \(T^2\) chart ⋮ Parallel discretization of the Markov chain approximation for the autoregressive moving average chart ⋮ An enhanced absorbing Markov chain model for predicting TAIEX Index Futures

Cites Work

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• AVERAGE RUN LENGTH COMPUTATION OF ARMA CHARTS FOR STATIONARY PROCESSES
• An approach to the probability distribution of cusum run length

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