Conference Agenda
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Statistics in natural sciences and technology Location: 0.001 Session Chair: Gaby Schneider Session Chair: Ansgar Steland | |
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MEWMA control charts for the covariance matrix -- on the validity of a certain approximation to achieve a feasible ARL integral equation 1: RWTH Aachen / HSU Hamburg, Germany; 2: HSU Hamburg, Germany In this talk, we consider the problem of monitoring changes in the covariance matrices of a sequence of multivariate normally distributed random vectors. Therefore, we introduce a Multivariate Exponentially Weighted Moving Average (MEWMA) control chart in which, at each time step, the empirical covariance matrix is computed and vectorized. The control limit and the corresponding Average Run Length (ARL) are determined not only by Monte Carlo simulation, but also by numerically solving an integral equation for the ARL. In order to set up this integral equation, the exact transition density of the monitoring statistic is approximated by its asymptotic transition density. This approximation exploits the fact that the asymptotic transition density is invariant under rotations of the sample covariance matrix. Finally, we provide an outlook on an application of the proposed control chart to data from a bridge monitoring project. | |
