Room P3.10, Mathematics Building
Wolfgang Schmid, European University Viadrina, Department of Statistics, Frankfurt, Germany
Sequential Monitoring of High Dimensional Time Series
In this presentation new types of multivariate EWMA control charts are presented. They are based on the Euclidean distance and on the distance defined by using the inverse of the diagonal matrix consisting of the variances. The design of the proposed control schemes does not involve the computation of the inverse covariance matrix and, thus, it can be used in the high-dimensional setting. The distributional properties of the control statistics are obtained and are used in the determination of the new control procedures. Within an extensive simulation study the new approaches are compared with the multivariate EWMA control charts which are based on the Mahalanobis distance.
The presented results are based on a joint work with Rostyslav Bodnar and Taras Bodnar.