ARL numerics for MEWMA charts

Knoth, Sven

doi:10.1080/00224065.2017.11918186

ARL numerics for MEWMA charts

Publication date

2017-11-21

Document type

Forschungsartikel

Author

Knoth, Sven

Organisational unit

Rechnergestützte Statistik

DOI

10.1080/00224065.2017.11918186

URI

https://openhsu.ub.hsu-hh.de/handle/10.24405/21893

Scopus ID

2-s2.0-85031115349

Publisher

Taylor & Francis

Series or journal

Journal of Quality Technology

ISSN

0022-4065

Periodical volume

49

Periodical issue

1

First page

78

Last page

89

Part of the university bibliography

✅

Language

English

Keyword

Collocation

Fredholm Integral Equation of the Second Kind

Markov Chain Approximation

Multivariate Statistical Process Control

Nyström Method

Software implementation

Abstract

The FORTRAN code in Bodden and Rigdon (1999) for the in-control average run length (ARL) of multivariate exponentially weighted moving average charts (MEWMA) became quite popular and is widely used in statistical software systems such as MINITAB and STATISTICA. We find that the algorithms' accuracy is poor for low-dimensional processes. The Markov chain approximation described in Runger and Prabhu (1996) is not able to resolve the issue. The same holds for the calculation of the out-of-control ARL as proposed in Ridgon (1995b). We present two concepts that achieve higher accuracy for all dimensions. The competing numerical procedures are implemented in the R package spc.

Version

Published version

Access right on openHSU

Metadata only access