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- Title
An EWMA chart for monitoring the covariance matrix of a multivariate process based on dissimilarity index.
- Authors
Huwang, Longcheen; Lin, Po‐Chun; Chang, Chih‐Hsiang; Lin, Li‐Wei; Tee, Yeu‐Shiang
- Abstract
In this article, we propose an exponentially weighted moving average (EWMA) control chart for monitoring the covariance matrix of a multivariate process based on the dissimilarity index of 2 matrices. The proposed control chart essentially monitors the covariance matrix by comparing the individual eigenvalues of the estimated EWMA covariance matrix with those of the estimated covariance matrix from the in-control (IC) phase I data. It is different from the conventional EWMA charts for monitoring the covariance matrix, which are either based on comparing the sum or product or both of the eigenvalues of the estimated EWMA covariance matrix with those of the IC covariance matrix. We compare the performance of the proposed chart with that of the best existing chart under the multivariate normal process. Furthermore, to prevent the control limit of the proposed EWMA chart developed using the limited IC phase I data from having extensively excessive false alarms, we use a bootstrap resampling method to adjust the control limit to guarantee that the proposed chart has the actual IC A R L(average run length) not less than the nominal level with a certain probability. Finally, we use an example to demonstrate the applicability and implementation of the proposed EWMA chart.
- Subjects
COVARIANCE matrices; NUMERICAL analysis; GAUSSIAN distribution; MULTIVARIATE analysis; MANUFACTURING processes
- Publication
Quality & Reliability Engineering International, 2017, Vol 33, Issue 8, p2089
- ISSN
0748-8017
- Publication type
Article
- DOI
10.1002/qre.2169