On the boundary crossing problem in memoryless models

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Hacettepe Journal of Mathematics and Statistics
Volume:52 Issue:3
On the boundary crossing problem in memoryless models

On the boundary crossing problem in memoryless models

Authors : Shangchen YAO, Mohammad KHAN

Pages : 785-794

Doi:10.15672/hujms.1038176

View : 135 | Download : 198

Publication Date : 2023-05-30

Article Type : Research Paper

Abstract :The joint Laplace transform of the two sided boundary crossing stopping rule is known for the negative exponential model only under certain conditions. In this paper we eliminate the need for such conditions. Our results also apply to the boundary crossing problem for the geometric models. We further illustrate how the results can be used to obtain the distribution for the multidimensional boundary crossing stopping rules under the memoryless models.
Keywords : Average run length, exponential model, geometric model, SPRT, cusum, sequential analysis, waiting times

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