GLR Control Charts for Monitoring the Mean Vector or the Dispersion of a Multivariate Normal Process
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In many applications, the quality of process outputs is described by more than one characteristic variable. These quality variables usually follow a multivariate normal (MN) distribution. This dissertation discusses the monitoring of the mean vector and the covariance matrix of MN processes. The first part of this dissertation develops a statistical process control (SPC) chart based on a generalized likelihood ratio (GLR) statistic to monitor the mean vector. The performance of the GLR chart is compared to the performance of the Hotelling Χ² chart, the multivariate exponentially weighted moving average (MEWMA) chart, and a multi-MEWMA combination. Results show that the Hotelling Χ² chart and the MEWMA chart are only effective for a small range of shift sizes in the mean vector, while the GLR chart and some carefully designed multi-MEWMA combinations can give similarly better overall performance in detecting a wide range of shift magnitudes. Unlike most of these other options, the GLR chart does not require specification of tuning parameter values by the user. The GLR chart also has the advantage in process diagnostics: at the time of a signal, estimates of change-point and out-of-control mean vector are immediately available to the user. All these advantages of the GLR chart make it a favorable option for practitioners. For the design of the GLR chart, a series of easy to use equations are provided to users for calculating the control limit to achieve the desired in-control performance. The use of this GLR chart with a variable sampling interval (VSI) scheme has also been evaluated and discussed. The rest of the dissertation considers the problem of monitoring the covariance matrix. Three GLR charts with different covariance matrix estimators have been discussed. Results show that the GLR chart with a multivariate exponentially weighted moving covariance (MEWMC) matrix estimator is slightly better than the existing method for detecting any general changes in the covariance matrix, and the GLR chart with a constrained maximum likelihood estimator (CMLE) gives much better overall performance for detecting a wide range of shift sizes than the best available options for detecting only variance increases.
- Doctoral Dissertations