可变抽样区间的多变量自相关过程VAR控制图

基于批量-均值法的思想,向量自回归(VAR)控制图对多变量自相关过程的较小偏移可以进行有效控制。为了提高多变量自相关过程监控效率,本文研究可变抽样区间的VAR控制图。首先,对多变量自相关过程的VAR控制图进行可变抽样区间设计;然后,用蒙特卡洛模拟方法计算其平均报警时间;最后,以平均报警时间为评价准则,对所设计的可变抽样区间VAR控制图与固定抽样区间的VAR控制图进行比较研究。研究结果表明:所设计的可变抽样区间多变量自相关过程VAR控制图较固定抽样区间的多变量自相关过程VAR控制图能更好的监控过程的变化。

Vector Auto-regression Control Chart for Monitoring Multivariate Autocorrelation Process with Variable Sampling Intervals

The vector auto-regression (VAR) control chart can effectively monitor the small shift of multivariate autocorrelation process based on the idea of the batch-mean mind. To improve the monitoring efficiency for multivariate autocorrelation process, VAR control chart with variable sampling intervals (VSI) is studied. Firstly, VAR control chart with variable sampling intervals for monitoring multivariate autocorrelation process is designed; Secondly, the average time to signal of this control chart is calculated using Monte Carlo simulation method; Finally, taking the average time to signal as the evaluation criterion, VAR control chart with variable sampling intervals and fixed sampling intervals are compared. The computing results show that the VSI VAR control chart is the more efficient indetecting shifts than the fixed sampling interval (FSI) VAR control chart.