The effect of the autocorrelation on the performance of the T^sup 2^ chart

In this article, we consider the T2 control chart for bivariate samples of size n with observations that are not only cross-correlated but also autocorrelated. The cross covariance matrix of the sample mean vectors is derived with the assumption that the observations are described by a multivariate...

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Veröffentlicht in:	European journal of operational research 2015-11, Vol.247 (1), p.155
Hauptverfasser:	Leoni, Roberto Campos, Costa, Antonio Fernando Branco, Machado, Marcela Aparecida Guerreiro
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Sprache:	eng
Schlagworte:	Control charts Correlation analysis Matrix Regression analysis Risk assessment Studies
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description	In this article, we consider the T2 control chart for bivariate samples of size n with observations that are not only cross-correlated but also autocorrelated. The cross covariance matrix of the sample mean vectors is derived with the assumption that the observations are described by a multivariate first order autoregressive model -- VAR (1). The combined effect of the correlation and autocorrelation on the performance of the T2 chart is also investigated. Earlier studies proved that changes in only one variable are detected faster when the variables are correlated. This result extends to the case that one or both variables are also autocorrelated.
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subjects	Control charts Correlation analysis Matrix Regression analysis Risk assessment Studies
title	The effect of the autocorrelation on the performance of the T^sup 2^ chart
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