JSM 2004 - Toronto

Abstract #301866

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Activity Number: 49
Type: Contributed
Date/Time: Sunday, August 8, 2004 : 4:00 PM to 5:50 PM
Sponsor: Section on Quality and Productivity
Abstract - #301866
Title: Diagnosing Shifts the Second and Higher Moments in Multivariate Changepoint Settings
Author(s): Joe H. Sullivan*+ and Zachary G. Stoumbos and Robert L. Mason and John C. Young
Companies: Mississippi State University and Rutgers University and Southwest Research Institute and McNeese State University
Address: Box 9582, MSU, MS, 39759,
Keywords: covariance matrix ; multivariate gamma distribution ; statistical process control
Abstract:

In multivariate changepoint and statistical process control situations, primary emphasis is on detection of a shift in the distribution of random observations. Also important is the diagnosis of what parameter or parameters have changed in the usual parametric setting. We parameterize the multivariate gamma distribution by the mean vector, standard deviations, and correlations, in contrast with the usual parameterization by shape and scale, for easier interpretation. We diagnose shifts in any combination of elements of the correlations, standard deviations, and means.

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Revised March 2004