Residual-based maximum MCUSUM control chart for joint monitoring the mean and variability of multivariate autocorrelated processes
Maximum multivariate cumulative sum (Max-MCUSUM) is one of the single control charts proposed for joint monitoring the mean and variability of independent observation. Since many applications yield time series data, it is important to develop Max-MCUSUM control chart for monitoring multivariate auto...
| Main Authors: | , , , , , |
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| Format: | Article |
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Taylor & Francis Online
2019
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| Subjects: |
| Summary: | Maximum multivariate cumulative sum (Max-MCUSUM) is one of the single control charts proposed for joint monitoring the mean and variability of independent observation. Since many applications yield time series data, it is important to develop Max-MCUSUM control chart for monitoring multivariate autocorrelated processes. In this paper, we propose a Max-MCUSUM control chart based on the residual of multioutput least square support vector regression (MLS-SVR). The optimal parameters of MLS-SVR model are calculated using historical in-control data and the control limit of the proposed chart is estimated using the bootstrap approach. The average run lengths of MLS-SVR-based Max-MCUSUM chart verify that the proposed chart is more sensitive to detect mean vector shift than to detect a covariance matrix shift. The illustrative examples of the proposed control chart are also provided for both simulation and real data. |
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