Multivariate Forecast Based Control Charting Schemes

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Journal of Business, Industry and Economics


Recently, much research had been performed in the area of control charting techniques for monitoring autocorrelated processes, especially regarding forecast based monitoring schemes. Forecast based monitoring schemes involve fitting an appropriate time-series model to the process, generating one step ahead forecast errors, and monitoring the forecast errors with traditional control charts. Another recent suggestion involved generating both the one-step-ahead and two-step-ahead forecast errors, then monitoring them with multivariate control charts. This article investigates the suggested multivariate approaches in regards to various ARMA(1,1) and AR(1) processes and shows the performance of the control charts relative to their univariate counterparts.