Multivariate CUSUM control charts for monitoring the covariance matrix

- Journal title : Journal of the Korean Data and Information Science Society
- Volume 27, Issue 2, 2016, pp.539-548
- Publisher : Korean Data and Information Science Society
- DOI : 10.7465/jkdi.2016.27.2.539

Title & Authors

Multivariate CUSUM control charts for monitoring the covariance matrix

Choi, Hwa Young; Cho, Gyo-Young;

Choi, Hwa Young; Cho, Gyo-Young;

Abstract

This paper is a study on the multivariate CUSUM control charts using three different control statistics for monitoring covariance matrix. We get control limits and ARLs of the proposed multivariate CUSUM control charts using three different control statistics by using computer simulations. The performances of these proposed multivariate CUSUM control charts have been investigated by comparing ARLs. The purpose of control charts is to detect assignable causes of variation so that these causes can be found and eliminated from process, variability will be reduced and the process will be improved. We show that the charts based on three different control statistics are very effective in detecting shifts, especially shifts in covariances when the variables are highly correlated. When variables are highly correlated, our overall recommendation is to use the multivariate CUSUM control charts using trace for detecting changes in covariance matrix.

Keywords

Average run length;covariance matrix;multivariate CUSUM control chart;

Language

English

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