Cumulative sum or <sc>cusum</sc> charts are typically used to detect a change in the distribution of a sequence of observations, e.g., shifts in the mean. Usually, after signalling, the chart is restarted by setting it to some value below the signalling threshold. We propose a non-restarting <sc>cusum</sc> chart...

A system to update estimates from a sequence of probability distributions is presented. The aim of the system is to quickly produce estimates with a user-specified bound on the Monte Carlo error. The estimates are based upon weighted samples stored in a database. The stored samples are...

We are interested in detecting changes in the performance of a credit portfolio quickly and robustly. The portfolio is dynamic: customers can either default or pay the full amount, and new customers can be taken on. Robust detection means that changing the number of new customers taken on should...

A new efficient method is proposed to compute multivariate normal probabilities over rectangles in high dimensions. The method exploits four variance reduction techniques: conditional Monte Carlo, importance sampling, splitting and control variates. Simulation results are presented that evaluate...