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The multivariate exponentially weighted moving average (MEWMA) control chart is a control charting scheme that uses weighted averages of previously observed random vectors to monitor the mean vector of a process. The in-control average run length (ARL) for the MEWMA control chart can be expressed as the solution of an integral equation. We give a FORTRAN program that uses the quadrature method to approximate the solution of this integral equation. The program can be used to obtain either the in-control ARL for a given value of the upper control limit or the appropriate upper control limit for a desired in-control ARL.
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Bodden et al. (1999) studied this question.
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