1. Application of copulas to multivariate control charts.
- Author
-
Verdier, Ghislain
- Subjects
- *
COPULA functions , *MULTIVARIATE analysis , *CONTROL theory (Engineering) , *DISTRIBUTION (Probability theory) , *GAUSSIAN distribution , *ESTIMATION theory - Abstract
Abstract: The most popular multivariate control chart for monitoring the mean of a distribution is probably the Hotelling T 2 rule. Unfortunately, this rule relies on the assumption that the distribution under control is Gaussian, which is rarely true in practice. The objective of this paper is to propose a new approach for the non-normal multivariate case. It consists in the construction of a tolerance region obtained from a density level set estimation. The method follows a “plug-in” approach in which the density of the observations is previously estimated. This estimation is conducted using copulas modeling, an increasingly popular tool in multivariate modeling. [Copyright &y& Elsevier]
- Published
- 2013
- Full Text
- View/download PDF