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Multivariate Exponentially Weighted Moving Average Charts for a Mean Based on Its Prediction Distribution
Authors:Ulrich Menzefricke
Institution:1. Joseph L. Rotman School of Management , University of Toronto , Toronto, Ontario, Canada menzefricke@rotman.utoronto.ca
Abstract:This article develops a control chart for a mean vector when it is monitored by a quadratic form in the exponentially weighted observation vector. A Bayesian approach is used to incorporate parameter uncertainty. We first use a Bayesian predictive distribution to construct the control chart, and we then use a sampling theory approach to evaluate it under various hypothetical specifications for the data generation model.
Keywords:Bayesian analysis  Control chart  Estimated parameters  Mean vector  Multivariate EWMA chart  Predictive distribution  Run length
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