tdpca_arl: Estimate average run length (ARL) for monitoring by tdpca

In Tveten/tdpcaTEP: Simulation Study on TEP Data with TDPCA.

Description

Estimate average run length (ARL) for monitoring by tdpca

Usage

tdpca_arl(threshold, x_train, lag, axes, n, w, n_sim)

Arguments

threshold	A numeric specifying the threshold value for when a change is declared.
x_train	The training data (not lag-extended).
lag	The number of lags used in TDPCA.
axes	A vector specifying which axes/projections to use.
n	The number of observations to monitor for an estimate of the ARL. See details.
w	The window size. Number of recent time-points to consider for a change.
n_sim	The number of simulations to base the estimate on.

Value

An estimate of the average run length.

Tveten/tdpcaTEP documentation built on June 4, 2019, 8:49 a.m.