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Surveillance of the mean behavior of multivariate time series
Author(s) -
Bodnar Olha,
Schmid Wolfgang
Publication year - 2007
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.2007.00365.x
Subject(s) - cusum , ewma chart , multivariate statistics , control chart , statistics , mathematics , series (stratigraphy) , statistical process control , chart , econometrics , computer science , process (computing) , paleontology , biology , operating system
In this paper several cumulative sum (CUSUM) charts for the mean of a multivariate time series are introduced. We extend the control schemes for independent multivariate observations of crosier [ Technometrics (1988) Vol. 30, pp. 187–194], pignatiello and runger [ Journal of Quality Technology (1990) Vol. 22, pp. 173–186], and ngai and zhang [ Statistica Sinica (2001) Vol. 11, pp. 747–766] to multivariate time series by taking into account the probability structure of the underlying stochastic process. We consider modified charts and residual schemes as well. It is analyzed under which conditions these charts are directionally invariant. In an extensive Monte Carlo study these charts are compared with the CUSUM scheme of theodossiu [ Journal of the American Statistical Association (1993) Vol. 88, pp. 441–448], the multivariate exponentially weighted moving‐average (EWMA) chart of kramer and schmid [ Sequential Analysis (1997) Vol. 16, pp. 131–154], and the control procedures of bodnar and schmid [ Frontiers of Statistical Process Control (2006) Physica, Heidelberg]. As a measure of the performance, the maximum expected delay is used.