tpca_arl: Estimates average run length (ARL) for monitoring by tpca

Description Usage Arguments Details Value

Description

Description

Usage

1
tpca_arl(threshold, mu_x, Sigma_x, axes, n, w, n_sim)

Arguments

threshold

A numeric specifying the threshold value for when a change is declared.

mu_x

A mean vector estimated from training data, representing the null distribution.

Sigma_x

A covariance matrix estimated from training data, representing the null distribution.

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.

Details

Details

Value

An estimate of the average run length.


Tveten/tpcaMonitoring documentation built on June 4, 2019, 4:04 p.m.