Performance Comparison of the Hotelling’s T2 and DMEWMA Control Charts Using Bivariate Copulas for Small Shifts

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Published: May 19, 2021
DOI: https://doi.org/10.14456/tjst.2020.78
Keywords:
ARL copula Hotelling’s T2 DMEWMA Monte Carlo simulation exponential distribution

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Sasigarn Kuvattana

Abstract

Multivariate control charts are an important tool in statistical process control for identifying an out-of-control process. Most multivariate control charts were designed to assume that the observations are an independence and normal distribution, but it is not valid in practice. This paper proposes the copulas modeling for dependence and non-normal multivariate cases and compare bivariate copulas on Hotelling’s T2 and double multivariate exponentially weighted moving average (DMEWMA) control charts. Observations are from an exponential distribution with Monte Carlo simulation when the parameter shifts are 1.02, 1.04, 1.06, 1.08, and 1.1. The level of dependence of observations is measured by Kendall’s tau as 0.8 and -0.8 for normal, Frank and Clayton copulas. The performance of control charts is based on the average run length (ARL) in each copula. The results show that in the case of one and two-parameter shifts, the performance of the Hotelling’s T2 is better than DMEWMA control chart for all modifications.

Article Details

How to Cite
Kuvattana, S. (2021). Performance Comparison of the Hotelling’s T2 and DMEWMA Control Charts Using Bivariate Copulas for Small Shifts. Thai Journal of Science and Technology, 9(6), 752–760. https://doi.org/10.14456/tjst.2020.78
Issue
Vol. 9 No. 6 (2020): November-December
Section
วิทยาศาสตร์กายภาพ

บทความที่ได้รับการตีพิมพ์เป็นลิขสิทธิ์ของคณะวิทยาศาสตร์และเทคโนโลยี มหาวิทยาลัยธรรมศาสตร์ ข้อความที่ปรากฏในแต่ละเรื่องของวารสารเล่มนี้เป็นเพียงความเห็นส่วนตัวของผู้เขียน ไม่มีความเกี่ยวข้องกับคณะวิทยาศาสตร์และเทคโนโลยี หรือคณาจารย์ท่านอื่นในมหาวิทยาลัยธรรมศาสตร์ ผู้เขียนต้องยืนยันว่าความรับผิดชอบต่อทุกข้อความที่นำเสนอไว้ในบทความของตน หากมีข้อผิดพลาดหรือความไม่ถูกต้องใด ๆ 

Author Biography

Sasigarn Kuvattana

Applied Statistics, Basic Science, Maejo University, Phrae Campus, Maejsai, Rong Kwang, Phrae 54140

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