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Memory‐type multivariate charts with fixed and variable sampling intervals for process mean when covariance matrix is unknown
Author(s) -
Haq Abdul,
Khoo Michael B. C.
Publication year - 2020
Publication title -
quality and reliability engineering international
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 62
eISSN - 1099-1638
pISSN - 0748-8017
DOI - 10.1002/qre.2564
Subject(s) - multivariate statistics , ewma chart , statistics , multivariate normal distribution , mathematics , matrix t distribution , multivariate analysis , control chart , covariance matrix , multivariate t distribution , covariance , computer science , process (computing) , operating system
Memory‐type multivariate charts have been widely recognized as a potentially powerful process monitoring tool because of their excellent speed in detecting small‐to‐moderate shifts in the mean vector of a multivariate normally distributed process, namely, the multivariate EWMA (MEWMA), double MEWMA, Crosier multivariate CUSUM (MCUSUM), and Pignatiello and Runger MCUSUM charts. These multivariate charts are based on the assumption that the covariance matrix is known in advance; but, it may not be known in practice. It is thus not possible to use these multivariate charts unless a large Phase I dataset is available from an in‐control process. In this paper, we propose multivariate charts with fixed and variable sampling intervals for the process mean vector when the covariance matrix is estimated from sample. Using the Monte Carlo simulation method, the run length characteristics of the multivariate charts are computed. It is shown that the in‐control and out‐of‐control run length performances of the proposed multivariate charts are robust to the changes in the process covariance matrix, while the existing multivariate charts are not. A real dataset is taken to explain the implementation of the proposed multivariate charts.