Multivariate Process Variability Monitoring

Understanding multivariate variability is a difficult task because there is no single measure that can be properly used. This article presents a new measure that features good properties. If this measure is simultaneously used with generalized variance, it will give a better understanding of multivariate variability. It can also efficiently be used for large data sets with high dimensions. Furthermore, when it is used for constructing a Shewhart-type chart to monitor multivariate variability, the resulting chart has a much better out-of-control ARL than the generalized variance chart. An example illustrates its advantage.