CUSUM (source code)
= CUSUM
{c}
{title2=$C_t=\max(0,C_{t-1}+W_t)$}
= Cumulative sum control chart
{synonym}
A <CUSUM> accumulates evidence for a change in a monitored <probability distribution>. With $W_t$ a <log-likelihood ratio> increment favoring a specified changed distribution, reset the accumulated score at zero and signal when it exceeds a chosen boundary $h$. For $C_0=0$, $C_t$ is the largest nonnegative sum of successive increments ending at $t$. This permits repeated detection of a change with an unknown onset, rather than a single fixed-start test.
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