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Control charts for monitoring correlation coefficients in variance-covariance matrix  

Chang, Duk-Joon (Department of Statistics, Changwon National University)
Heo, Sun-Yeong (Department of Statistics, Changwon National University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.4, 2011 , pp. 803-809 More about this Journal
Abstract
Properties of multivariate Shewhart and CUSUM charts for monitoring variance-covariance matrix, specially focused on correlation coefficient components, are investigated. The performances of the proposed charts based on control statistic Lawley-Hotelling $V_i$ and likelihood ratio test (LRT) statistic $TV_i$ are evaluated in terms of average run length (ARL). For monitoring correlation coe cient components of dispersion matrix, we found that CUSUM chart based on $TV_i$ gives relatively better performances and is more preferable, and the charts based on $V_i$ perform badly and are not recommended.
Keywords
Average run length; false alarm; CUSUM; likelihood ratio test;
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Times Cited By KSCI : 3  (Citation Analysis)
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