On the Run Length of a State-Space Control Chart for Multivariate Autocorrelated Data |
| |
Authors: | Manuel Vargas José Mondéjar |
| |
Institution: | 1. Facultad de Ciencias Económicas y Empresariales , Universidad de Castilla-La Mancha , Albacete , Espa?a;2. Facultad de Ciencias Sociales , Universidad de Castilla-La Mancha , Cuenca , Espa?a |
| |
Abstract: | The literature on statistical process control (SPC) describes the negative effects of autocorrelation in terms of the increase in false alarms. This has been treated by the individual modeling of each series or the application of VAR models. In the former case, the analysis of the cross correlation structure between the variables is altered. In the latter, if the cross correlation is not strong, the filtering process may modify the weakest relations. In order to improve these aspects, state-space models have been introduced in multivariate statistical process control (MSPC). This article presents a proposal for building a control chart for innovations, estimating its average run length to highlight its advantages over the VAR approach mentioned above. |
| |
Keywords: | Average run length Multivariate control chart State-space model Statistical process control |
|
|