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http://dx.doi.org/10.5351/CSAM.2016.23.6.497

Copula modelling for multivariate statistical process control: a review  

Busababodhin, Piyapatr (Department of Mathematics, Mahasarakham University)
Amphanthong, Pimpan (Department of Mathematics, Rajamangala University of Technology Suvarnabhumi)
Publication Information
Communications for Statistical Applications and Methods / v.23, no.6, 2016 , pp. 497-515 More about this Journal
Abstract
Modern processes often monitor more than one quality characteristic that are referred to as multivariate statistical process control (MSPC) procedures. The MSPC is the most rapidly developing sector of statistical process control and increases interest in the simultaneous inspection of several related quality characteristics. Most multivariate detection procedures based on a multi-normality assumptions are independent, but there are many processes that assume non-normality and correlation. Many multivariate control charts have a lack of related joint distribution. Copulas are tool to construct multivariate modelling and formalizing the dependence structure between random variables and applied in several fields. From copula literature review, there are a few copula to apply in MSPC that have multivariate control charts, and represent a successful tool to identify an out-of-control process. This paper presents various types of copulas modelling for the multivariate control chart. The performance measures of the control chart are the average run length (ARL) and the average number of observations to signal (ANOS). Furthermore, a Monte Carlo simulation is shown when the observations were from an exponential distribution.
Keywords
copula; Spearman's rho; multivariate control chart; copula Markov CUSUM; measuring dependence; performance characteristics; average run length;
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