arl_op_oc

Notedocblock 
arl_op_oc(op_dgp, lam, cl, reps=10_000; chart_choice, d=1, m=3, ced=false, ad=100,
  rl_max=typemax(Int))

Compute the out-of-control average run length (ARL) of the EWMA chart based on ordinal patterns via simulation, following Weiß and Testik (2023). The computation is multithreaded.

  • op_dgp: out-of-control DGP (e.g. AR1, MA1, MA2, TEAR1, QAR1).
  • lam::Float64: smoothing parameter of the EWMA statistic.
  • cl::Float64: control limit of the chart.
  • reps::Int=10_000: number of replications.
  • chart_choice: one of Shannon(), ShannonExtropy(), DistanceToWhiteNoise(), UpDownBalance(), Persistence(), RotationalAsymmetry(), UpDownScaling() (see chart_stat_op). For Shannon and ShannonExtropy, the statistic is in the logarithm base of the chart, which must be larger than 1. Both default to base 2 in ComplexityMeasures.jl; use Shannon(base=exp(1)) for the natural logarithm used in the papers. The control limit cl must be given in the same base.
  • d::Int=1: delay between observations of a pattern.
  • m::Int=3: length of the ordinal patterns.
  • ced::Bool=false: use conditional expected delay initialization.
  • ad::Int=100: number of in-control iterations for ced.
  • rl_max::Int=typemax(Int): maximal run length after which a replication is stopped. Returns the tuple (ARL, standard error).