cl_op

Notedocblock 
cl_op(lam, L0, op_dgp, cl_init, reps=10000; chart_choice, jmin=4, jmax=6, verbose=false, d=1, ced=false, ad=100)

Function to compute the control limit for ordinal patterns.

  • lam::Float64: Smoothing parameter for the EWMA statistic.

  • L0::Float64: In-control ARL.

  • op_dgp::Union{IC, AR1, MA1, MA2, TEAR1, AAR1, QAR1}: DGP.

  • cl_init::Float64: Initial guess for the control limit.

  • reps::Int64: Number of replications.

  • chart_choice::Int

    1. \(\widehat{H}^{(d)}=-\sum_{k=1}^{m!} \hat{p}_k{ }^{(d)} \ln \hat{p}_k{ }^{(d)}\)
    2. \(\widehat{H}_{\mathrm{ex}}^{(d)}=-\sum_{k=1}^{m!}\left(1-\hat{p}_k{ }^{(d)}\right) \ln \left(1-\hat{p}_k{ }^{(d)}\right)\)
    3. \(\widehat{\Delta}^{(d)}=\sum_{k=1}^{m!}\left(\hat{p}_k^{(d)}-1 / m!\right)^2\)
    4. \(\hat{\beta}^{(d)}=\hat{p}_6^{(d)}-\hat{p}_1^{(d)}\)
    5. \(\hat{\tau}^{(d)}=\hat{p}_6^{(d)}+\hat{p}_1^{(d)}-\frac{1}{3}\)
    6. \(\hat{\delta}^{(d)}=\hat{p}_4^{(d)}+\hat{p}_5^{(d)}-\hat{p}_3^{(d)}-\hat{p}_2^{(d)}\)

    The patterns are categorized as follows:

    \(\qquad p_1 = (3,2,1); \quad p_2=(3,1,2); \quad p_3 = (2,3,1);\)

    \(\qquad p_4 = (1,3,2); \quad p_5 = (2,1,3); \quad p_ 6 = (1,2,3)\)

  • jmin::Int Minimum number of decimals for final control limit to optimize.

  • jmax::Int Maximum number of decimals for final control limit to optimize.

  • verbose::Bool=false Print intermediate results?

  • d::Union{Int,Vector{Int}}=1: Delay vector.

  • ced::Bool=false: Use conditional expected delay? Default is false.

  • ad::Int=100: Number of iterations for ced.