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Functions |
EWMAARL Function |
computes the average run length for an exponentially weighted moving average.
EWMAARL
where
|
is the shift to be detected, expressed as a multiple of the process standard deviation ( |
|
is the weight factor for the current subgroup mean in the EWMA, where |
|
is the multiple of |
The EWMAARL function computes the average run length for an exponentially weighted moving average (EWMA) scheme using the method of Crowder (1987a, 1987b). The notation used in the preceding list is consistent with that used in the MACONTROL procedure.
For a specified shift , you can use the EWMAARL function to design an exponentially weighted moving average scheme by first calculating average run lengths for a range of values of
and
and then choosing the combination of
and
that yields a desired average run length.
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