getCC.ARMA {PH1XBAR}

get Phase I corrected charting constant with an ARMA model

Description

get Phase I corrected charting constant with an ARMA model

Usage

getCC.ARMA(
  fap0 = 0.05,
  interval = c(1, 4),
  n = 50,
  order = c(1, 0, 0),
  phi.vec = 0.5,
  theta.vec = NULL,
  case = "U",
  method = "MLE+MOM",
  nsim.coefs = 100,
  nsim.process = 1000,
  burn.in = 50,
  sim.type = "Matrix",
  verbose = FALSE
)

Arguments

fap0

nominal false Alarm Probabilty in Phase 1

interval

searching range of charting constants for the exact method

n

number of observations

order

order for ARMA model

phi.vec

given vectors of autoregressive parameters for ARMA models

theta.vec

given vectors of moving-average parameters for ARMA models

case

known or unknown case. When case = 'U', the parameters are unknown and the charting constant is calculated based on a bootstrapping method. When case = 'K', the parameters are known and the charting constant is found using the quantile function of multivariate normal distribution

method

estimation method for the control chart. When method = 'Method 3' is maximum likehood estimations plus method of moments. Other options are 'Method 1' which is pure MLE and 'Method 2' which is pure CSS.

nsim.coefs

number of simulation for coeficients. It is functional when double.sim = TRUE.

nsim.process

number of simulation for ARMA processes

burn.in

number of burn-ins. When burn.in = 0, the ECM gets involved. When burn.in is large enough, the ACM gets involved.

sim.type

type of simulation. When sim.type = 'Matrix', the simulation is generated using matrix computation. When sim.type = 'Recursive', the simulation is based on a recursion.

verbose

print diagnostic information about fap0 and the charting constant during the simulations for the exact method

phi

vector of autoregressive coefficient(s). When case = 'K', it must be provided. The length must be the same as the first value in the order. It needs to be NULL if no autoregressor presents

theta

vector of moving-average coefficient(s). When case = 'K', it must be provided. The length must be the same as the third value in the order. It needs to be NULL if no moving average presents

Value

Object type double. The corrected charting constant.

Examples

# load the data in the package as an example
set.seed(12345)

# Calculate the charting constant using fap0 of 0.05, and 50 observations
getCC.ARMA(fap0=0.05, n=50, nsim.coefs=10, nsim.process=10)