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The effect of the autocorrelation on the performance of the T2 chart

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  • Leoni, Roberto Campos
  • Costa, Antonio Fernando Branco
  • Machado, Marcela Aparecida Guerreiro

Abstract

In this article, we consider the T2 control chart for bivariate samples of size n with observations that are not only cross-correlated but also autocorrelated. The cross covariance matrix of the sample mean vectors is derived with the assumption that the observations are described by a multivariate first order autoregressive model – VAR (1). The combined effect of the correlation and autocorrelation on the performance of the T2 chart is also investigated. Earlier studies proved that changes in only one variable are detected faster when the variables are correlated. This result extends to the case that one or both variables are also autocorrelated.

Suggested Citation

  • Leoni, Roberto Campos & Costa, Antonio Fernando Branco & Machado, Marcela Aparecida Guerreiro, 2015. "The effect of the autocorrelation on the performance of the T2 chart," European Journal of Operational Research, Elsevier, vol. 247(1), pages 155-165.
    • Handle: RePEc:eee:ejores:v:247:y:2015:i:1:p:155-165
    DOI: 10.1016/j.ejor.2015.05.077
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    8. Costa, Antonio Fernando Branco & Machado, Marcela Aparecida Guerreiro, 2011. "Variable parameter and double sampling charts in the presence of correlation: The Markov chain approach," International Journal of Production Economics, Elsevier, vol. 130(2), pages 224-229, April.
    9. Du, Shichang & Lv, Jun, 2013. "Minimal Euclidean distance chart based on support vector regression for monitoring mean shifts of auto-correlated processes," International Journal of Production Economics, Elsevier, vol. 141(1), pages 377-387.
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    Cited by:

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    3. Teoh, W.L. & Khoo, Michael B.C. & Castagliola, Philippe & Yeong, W.C. & Teh, S.Y., 2017. "Run-sum control charts for monitoring the coefficient of variation," European Journal of Operational Research, Elsevier, vol. 257(1), pages 144-158.
    4. Roberto Campos Leoni & Marcela Aparecida Guerreiro Machado & Antonio Fernando Branco Costa, 2016. "The T -super-2 chart with mixed samples to control bivariate autocorrelated processes," International Journal of Production Research, Taylor & Francis Journals, vol. 54(11), pages 3294-3310, June.

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