lindley {localScore}

Lindley process

Description

Creates a sequence of a Lindley process, also called CUSUM process, on a given sequence. For a sequence (X_k)k, the Lindley process is defined as follows: W_0:=0 and W_(k+1)=max(0,W_k+X_(k+1)). It defines positive excursions above 0.

Usage

lindley(sequence)

Arguments

sequence

numeric sequence of a Lindley process, eg service time per customer

Value

a vector with the Lindley process steps

Examples

seq=c(1,2,3,-4,1,-3,-1,2,3,-4,1)
lindley(seq)
plot(1:length(seq),lindley(seq),type='b')