On monitoring shift in the mean processes with vector autoregressive residual control charts of individual observation

Abstract

In this paper, we purpose a monitoring scheme of individual observation that can be modeled as a first-order vector autoregressive process and develop it to mean square successive difference matrix based on residuals. Due to the effect of shift in mean process on VAR residual charts, we investigate the T 2 -type charts performance of residual and control charts as an individual observation. Then we compare both T 2 -type charts using upper control limit approximation with α=0.005 (fix) based simulation. From the results of comparison, it shows that the chart for a small to moderate level of shift in the process mean vector gives a better performance than the charts.