IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v38y2002i3p249-261.html

An accurate algorithm to compute the run length probability distribution, and its convolutions, for a Cusum chart to control normal mean

Author

Listed:
  • Luceno, Alberto
  • Puig-Pey, Jaime

Abstract

No abstract is available for this item.

Suggested Citation

  • Luceno, Alberto & Puig-Pey, Jaime, 2002. "An accurate algorithm to compute the run length probability distribution, and its convolutions, for a Cusum chart to control normal mean," Computational Statistics & Data Analysis, Elsevier, vol. 38(3), pages 249-261, January.
    • Handle: RePEc:eee:csdana:v:38:y:2002:i:3:p:249-261
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(01)00043-3
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Ellis, David M. & Flannery, Mark J., 1992. "Does the debt market assess large banks, risk? : Time series evidence from money center CDs," Journal of Monetary Economics, Elsevier, vol. 30(3), pages 481-502, December.
    2. William H. Fellner, 1990. "Average Run Lengths for Cumulative Sum Schemes," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(3), pages 402-412, November.
    3. Alberto Luceno George & E. P. Box, 2000. "Influence of the sampling interval, decision limit and autocorrelation on the average run length in Cusum charts," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(2), pages 177-183.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Knoth, Sven, 2006. "Computation of the ARL for CUSUM-S2 schemes," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 499-512, November.
    2. Chang, Fengming M. & Chen, Long-Hui & Chen, Yueh-Li & Huang, Chien-Yu, 2008. "Approximate distribution of demerit statistic--A bounding approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3300-3309, March.
    3. Wu, Zhang & Yang, Mei & Jiang, Wei & Khoo, Michael B.C., 2008. "Optimization designs of the combined Shewhart-CUSUM control charts," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 496-506, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ioannidou, V. & de Dreu, J., 2006. "The Impact of Explicit Deposit Insurance on Market Discipline," Other publications TiSEM 693cfa2c-76f1-4304-872f-f, Tilburg University, School of Economics and Management.
    2. Opiela, Timothy P., 2004. "Was there an implicit full guarantee at financial institutions in Thailand? Evidence of risk pricing by depositors," Journal of Comparative Economics, Elsevier, vol. 32(3), pages 519-541, September.
    3. D. McCullough, B. & Wilson, Berry, 2002. "On the accuracy of statistical procedures in Microsoft Excel 2000 and Excel XP," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 713-721, October.
    4. anonymous, 1999. "Using subordinated debt as an instrument of market discipline," Staff Studies 172, Board of Governors of the Federal Reserve System (U.S.).
    5. Bergey, Paul K. & Ragsdale, Cliff, 2005. "Modified differential evolution: a greedy random strategy for genetic recombination," Omega, Elsevier, vol. 33(3), pages 255-265, June.
    6. Allen N. Berger & Martien Lamers & Raluca A. Roman & Koen Schoors, 2023. "Supply and Demand Effects of Bank Bailouts: Depositors Need Not Apply and Need Not Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1397-1442, September.
    7. Altunbas, Yener & Gambacorta, Leonardo & Marques-Ibanez, David, 2009. "Securitisation and the bank lending channel," European Economic Review, Elsevier, vol. 53(8), pages 996-1009, November.
    8. Abhiman Das & Saibal Ghosh, 2004. "Market Discipline In The Indian Banking Sector: An Empirical Exploration," Finance 0410020, University Library of Munich, Germany.
    9. Koen Schoors & Konstantin Sonin, 2005. "Passive Creditors," International Finance, Wiley Blackwell, vol. 8(1), pages 57-86, March.
    10. Stijn Claessens & Luc Laeven, 2006. "A Reader in International Corporate Finance, Volume One," World Bank Publications - Books, The World Bank Group, number 7111, April.
    11. Silu Muduli & Harendra Behera, 2023. "Bank capital and monetary policy transmission in India," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 16(1), pages 32-56, January.
    12. Maximilian J.B. Hall, 2001. "The basle Committee's proposals for a new capital adequacy assessment framework: a critique," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(217), pages 111-179.
    13. Luceno, Alberto, 1999. "Average run lengths and run length probability distributions for cuscore charts to control normal mean," Computational Statistics & Data Analysis, Elsevier, vol. 32(2), pages 177-195, December.
    14. Ruby P. Kishan & Timothy P. Opiela, 2012. "Monetary Policy, Bank Lending, and the Risk‐Pricing Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 573-602, June.
    15. Robert R. Bliss & Mark J. Flannery, 2000. "Market discipline in the governance of U.S. Bank Holding Companies: monitoring vs. influencing," Working Paper Series WP-00-3, Federal Reserve Bank of Chicago.
    16. Semenova Maria, 2007. "How depositors discipline banks: the case of Russia," EERC Working Paper Series 07-02e, EERC Research Network, Russia and CIS.
    17. Akhmed Akhmedov & Ekaterina Zhuravskaya, 2004. "Opportunistic Political Cycles: Test in a Young Democracy Setting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(4), pages 1301-1338.
    18. Gueyie, Jean-Pierre & Lai, Van Son, 2003. "Bank moral hazard and the introduction of official deposit insurance in Canada," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 247-273.
    19. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    20. Lai, Dejian, 2004. "Estimating the Hurst effect and its application in monitoring clinical trials," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 549-562, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:38:y:2002:i:3:p:249-261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.