calc_PStat_MEWMA: Calculate plotting statistic

In dpweix/mlmcusum: Detects Changes in Covariance for Multivariate TS

Calculate plotting statistic

Description

A helper function to calculate the plotting statistic given D and r.

Usage

calc_PStat_MEWMA(r, D, p, pstat0 = (p * (p + 1)/2))

Arguments

r	The weight of the current observation. The previous observation has weight 1-r.
D	The Mahalanobis distance of each tau vector.
p	The number of variables in your multivariate time series.
pstat0	An initial value for the plotting statistic

Value

The plotting statistic which determines if the process is considered in-control or out-of-control at a given observation.

dpweix/mlmcusum documentation built on July 31, 2023, 10:13 a.m.