FITTING SIMULATED RUN LENGTH DISTRIBUTION USING TRANSLATED GAMMA DISTRIBUTION

Authors

  • Chong Fok Seng Institute of Mathematical Sciences, Faculty of Science, university of Malaya, 50603 Kuala Lumpur, Malaysia.
  • Pooi Ah Hin Institute of Mathematical Sciences, Faculty of Science, university of Malaya, 50603 Kuala Lumpur, Malaysia.

Keywords:

Two-sided CUSUM scheme, run length distribution, translated gamma distribution

Abstract

Theoretically iterative formulas can be used to find the run length distribution of the two-sided CUSUM scheme. But in practice, we face the problem of requiring long computing time to get the run length distribution using the iterative formulas. An alternative way of finding the run length distribution is by means of simulation. As the simulated run length distribution exhibits random fluctuation when compared with the actual distribution, we can improve the simulated distribution by fitting it with a smooth curve. It is found that the curve given by the right tail of the translated gamma distribution gives a good fit to the simulated results. The methods based on moments and least squares are used to estimate the parameters of the translated gamma distribution. Numerical examples in the case when the observations have an exponential or normal distribution are presented.

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Published

26-08-2004

How to Cite

Fok Seng, C., & Ah Hin, P. (2004). FITTING SIMULATED RUN LENGTH DISTRIBUTION USING TRANSLATED GAMMA DISTRIBUTION. Malaysian Journal of Science (MJS), 23(2), 181–187. Retrieved from https://mjs.um.edu.my/index.php/MJS/article/view/8484

Issue

Vol. 23 No. 2 (2004)

Section

Original Articles

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