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A Change Point Method for phase II Monitoring of Generalized Linear Profiles with Drift and Multiple Changes

Hajifar, Sahand | 2017

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 50287 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Mahlouji, Hashem
  7. Abstract:
  8. The aim of this research is to study performance of Rao Score Test control chart in phase II monitoring of generalized linear profiles for drift and multiple changes which can be isotonic or antitonic. Moreover, the performance of the method is compared with two common methods in the generalized linear profile literature: Hotelling T2 and multivariate exponential weighted moving average. Afterward multivariate cumulative sum chart is proposed to be used in monitoring antitonic multiple change in the parameter of Poisson profiles. Finally, a real world example is presented in which Rao Score Test method is applied to real data and the performance of this method is compared with other methods. Comparing methods is done by simulation. According to the results Rao Score Test method shows better performance in monitoring isotonic changes but in the case of antitonic changes sometimes Hotelling T2 and multivariate exponential weighted moving average perform better. Change point estimation approach performs well in estimating change points with large and moderate drift changes but its performance for estimating the change point in the case of multiple change is not satisfactroy. Multivariate cumulative sum chart method performs better than Rao Score Test method in monitoring antitonic multiple change in the parameter of Poisson profiles when changes are small while for monitoring large changes Rao Score Test method is better. In the real world example with large and moderate change scenarios, Rao Score Test method performs better while for the small change scenario, multivariate exponential weighted moving average shows a better performance
  9. Keywords:
  10. Generalized Linear Profiles (GLPs) ; Exponentially Weighted Moveing Average (EWMA) ; Multivariate Cumulative Sum Control Chart (MCUSUM) ; Step Change Point ; Linear Change Point ; Drift ; Rao Score Test

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