ON THE RUN LENGTH OF A STATE-SPACE CONTROL CHART FOR MULTIVARIATE AUTOCORRELATED DATA

Manuel Vargas Vargas (1) , Jose-Luis Alfaro Navarro (1) , Jose Mondejar Jimenez (2)

1 Facultad de Ciencias Económicas y Empresariales
2 Facultad de Ciencias Sociales

The literature on statistical process control (SPC) describes the negative effects of autocorrelation in terms of false alarms. This has been treated by the individual modelling 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, the filtering process can modify the weakest relations. In order to improve these aspects, state-space models have been introduced in MSPC. This paper presents a proposal for building a innovations control chart, estimating its average run length to highlight its advantages over the VAR approach.

Mots clés: Physical Sciences

Manuel Vargas Vargas, Jose-Luis Alfaro Navarro, Jose Mondejar Jimenez. ON THE RUN LENGTH OF A STATE-SPACE CONTROL CHART FOR MULTIVARIATE AUTOCORRELATED DATA. Communications in Statistics - Simulation and Computation, 2009, 38 (09), pp.1823-1833. ⟨10.1080/03610910903147771⟩. ⟨hal-00520669⟩