Computation of the survival function of the Run Length (RL) for EWMA control charts monitoring normal mean.
xtewma.sf(l, c, df, mu, n, zr=0, hs=0, sided="two", limits="fix", mode="tan", q=1, r=40)Returns a vector which resembles the survival function up to a certain point.
smoothing parameter lambda of the EWMA control chart.
critical value (similar to alarm limit) of the EWMA control chart.
degrees of freedom -- parameter of the t distribution.
true mean.
calculate sf up to value n.
reflection border for the one-sided chart.
so-called headstart (enables fast initial response).
distinguishes between one- and two-sided EWMA control chart
by choosing "one" and "two", respectively.
distinguishes between different conrol limits behavior.
Controls the type of variables substitution that might improve the numerical performance. Currently,
"identity", "sin", "sinh", and "tan" (default) are provided.
change point position. For \(q=1\) and \(\mu=\mu_0\) and \(\mu=\mu_1\), the usual zero-state situation for the in-control and out-of-control case, respectively, are calculated. Note that mu0=0 is implicitely fixed.
number of quadrature nodes, dimension of the resulting linear
equation system is equal to r+1 (one-sided) or r (two-sided).
Sven Knoth
The survival function P(L>n) and derived from it also the cdf P(L<=n) and the pmf P(L=n) illustrate the distribution of the EWMA run length. For large n the geometric tail could be exploited. That is, with reasonable large n the complete distribution is characterized. The algorithm is based on Waldmann's survival function iteration procedure. For varying limits and for change points after 1 the algorithm from Knoth (2004) is applied. For details see Knoth (2004).
F. F. Gan (1993), An optimal design of EWMA control charts based on the median run length, J. Stat. Comput. Simulation 45, 169-184.
S. Knoth (2003), EWMA schemes with non-homogeneous transition kernels, Sequential Analysis 22, 241-255.
S. Knoth (2004), Fast initial response features for EWMA Control Charts, Statistical Papers 46, 47-64.
K.-H. Waldmann (1986), Bounds for the distribution of the run length of geometric moving average charts, Appl. Statist. 35, 151-158.
xewma.sf for survival function computation of EWMA control charts in the normal case.