Estimate ARL for EWMA-T-Squared Chart

Estimates the in-control Average Run Length for an EWMA-smoothed T-squared chart via Monte Carlo simulation.

Usage

spm.arl.ewma(
  chart,
  lambda = 0.2,
  ucl = NULL,
  n.sim = 10000,
  max.rl = 5000,
  seed = 42
)

Arguments

chart

An object of class spm.chart from spm.phase1.

lambda

EWMA smoothing parameter (default 0.2).

ucl

Upper control limit for the EWMA chart. If NULL, uses chart$t2.ucl.

n.sim

Number of simulations (default 10000).

max.rl

Maximum run length per simulation (default 5000).

seed

Random seed (default 42).

Value

An object of class spm.arl with the same structure as spm.arl.

See also

spm.arl for standard ARL, spm.ewma for EWMA monitoring

Examples

# \donttest{
set.seed(1)
n <- 50; m <- 30
argvals <- seq(0, 1, length.out = m)
X <- matrix(rnorm(n * m), n, m)
fd <- fdata(X, argvals = argvals)
chart <- spm.phase1(fd, ncomp = 3)

arl_ewma <- spm.arl.ewma(chart, lambda = 0.2, n.sim = 1000)
arl_ewma
#> SPM Average Run Length (In-Control)
#>   Statistic: EWMA.T2 
#>   ARL: 37.92 
#>   Std. Dev.: 34.76 
#>   Median RL: 27 
#>   Simulations: 1000 
# }