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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/61595


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    题名: Process control for the vector autoregressive model
    作者: 楊素芬
    Cheng, T.-C.;Hsieh, P.-H.;Yang, S.-F.
    贡献者: 統計系
    日期: 2012.12
    上传时间: 2013-11-11 17:38:54 (UTC+8)
    摘要: Multivariate monitoring techniques for serially correlated observations have been widely used in various applications. This study examines several issues that have arisen in relation to the statistical quality control for the vector autoregressive (VAR) model, using a Monte Carlo approach. Different versions of the Hotelling T2 statistic and control limits to monitor the VAR-type process for both Phase I and Phase II schemes can be specified for different sample sizes and configurations of the model. Our simulation study suggests that the Hotelling`s T2 statistic can be tested against the χ2 critical values during Phase I, but should be tested against scaled F critical values during Phase II. An unbiased covariance estimate of residuals is also recommended during Phase II when sample size is typically small. By reanalyzing some real data examples, the authors offer new conclusions.
    關聯: Quality and Reliability Engineering International, 2012
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1002/qre.1477
    DOI: 10.1002/qre.1477
    显示于类别:[統計學系] 期刊論文

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