On the CUSUM procedure for phase-type distributions: a Lévy fluctuation theory approach

We introduce a new method analyzing the cumulative sum (CUSUM) procedure in sequential change-point detection. When observations are phase-type distributed and the post-change distribution is given by exponential tilting of its pre-change distribution, the first passage analysis of the CUSUM statistic is reduced to that of a certain Markov additive process. By using the theory of the so-called scale matrix and further developing it, we derive exact expressions of the average run length, average detection delay, and false alarm probability under the CUSUM procedure. The proposed method is robust and applicable in a general setting with non-i.i.d. observations. Numerical results also are given.