Fitting pareto distribution with hyperexponential to evaluate the ARL for CUSUM chart

Publisher:
Academic Publications
Publication Type:
Journal Article
Citation:
International Journal of Pure and Applied Mathematics, 2012, 77 (2), pp. 233 - 244
Issue Date:
2012-01
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Explicit formulas for the Average Run Length (ARL) of Cumulative Sum (CUSUM) chart are very complicated in regarding the analytical derivation when observations are Long-tailed distributions. The objective of this paper is to ?tting Pareto distribution with the hyperexponential distribution to evaluate ARL of CUSUM procedure. The numerical results obtained from analytical solution for the ARL and from numerical approximations are derived and we compared the result with integral equations approach.
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