Title
Multivariate exponentially weighted moving covariance matrix
Abbreviated Journal Title
Technometrics
Keywords
average run length; average run length bias; regression adjustment; QUALITY-CONTROL; CONTROL SCHEMES; CONTROL CHARTS; VARIABLES; EWMA; Statistics & Probability
Abstract
Multivariate exponentially weighted moving average (MEWMA) charts are among the best control charts for detecting small changes in any direction. The well-known MEWMA is directed at changes in the mean vector. But changes can occur in either the location or the variability of the correlated multivariate quality characteristics, calling for parallel methodologies for detecting changes in the covariance matrix. This article discusses an exponentially weighted moving covariance matrix for monitoring the stability of the covariance matrix of a process. Used together with the location MEWMA, this chart provides a way to satisfy Shewhart's dictum that proper process control monitor both mean and variability. We show that the chart is competitive, generally outperforming current control charts for the covariance matrix.
Journal Title
Technometrics
Volume
50
Issue/Number
2
Publication Date
1-1-2008
Document Type
Article
Language
English
First Page
155
Last Page
166
WOS Identifier
ISSN
0040-1706
Recommended Citation
"Multivariate exponentially weighted moving covariance matrix" (2008). Faculty Bibliography 2000s. 7044.
https://stars.library.ucf.edu/facultybib2000/7044
Comments
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