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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

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61595

Title:	Process control for the vector autoregressive model
Authors:	楊素芬 Cheng, T.-C.;Hsieh, P.-H.;Yang, S.-F.
Contributors:	統計系
Date:	2012.12
Issue Date:	2013-11-11 17:38:54 (UTC+8)
Abstract:	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.
Relation:	Quality and Reliability Engineering International, 2012
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/qre.1477
DOI:	10.1002/qre.1477
Appears in Collections:	[統計學系] 期刊論文

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