We present a computer program that calculates the average run length (ARL) for multivariate exponentially weighted moving average control charts. The program returns the ARL given values of the shift in the mean vector, the control limit, and the smoothing constant. The program may be modified to respond to single inputs or to vectors of inputs. The ARL values are determined using a Markov chain approximation.
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Molnau et al. (2001) studied this question.