Phase II monitoring of changes in mean from high‐dimensional data

Johan Lim and Sungim Lee

Applied Stochastic Models in Business and Industry, 2017, vol. 33, issue 6, 626-639

Abstract: The generalized T2 chart (GT‐chart), which is composed of the T2 statistic based on a small number of principal components and the remaining components, is a popular alternative to the traditional Hotelling's T2 control chart. However, the application of the GT‐chart to high‐dimensional data, which are now ubiquitous, encounters difficulties from high dimensionality similar to other multivariate procedures. The sample principal components and their eigenvalues do not consistently estimate the population values, and the GT‐chart relying on them is also inconsistent in estimating the control limits. In this paper, we investigate the effects of high dimensionality on the GT‐chart and then propose a corrected GT‐chart using the recent results of random matrix theory for the spiked covariance model. We numerically show that the corrected GT‐chart exhibits superior performance compared to the existing methods, including the GT‐chart and Hotelling's T2 control chart, under various high‐dimensional cases. Finally, we apply the proposed corrected GT‐chart to monitor chemical processes introduced in the literature.

Date: 2017
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https://doi.org/10.1002/asmb.2267

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:33:y:2017:i:6:p:626-639

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