JSM 2004 Online Program

Abstract #301901

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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 - #301901
Title:	Methods for Estimating the Time of a Shift in the Mean for Multivariate Data
Author(s):	Steven E. Rigdon*+ and Nicole J. Munden
Companies:	Southern Illinois University, Edwardsville and Southern Illinois University, Edwardsville
Address:	Dept. of Mathematics & Statistics, Edwardsville, IL, 62026,
Keywords:	multivariate quality control ; changepoint ; EWMA
Abstract:	Suppose that a multivariate control chart, such as the Hotelling T-squared chart or the multivariate EWMA chart, signals that the mean vector has changed. We would like to give estimates for the time when the change occurred as well as the amount of the shift. We derive the maximum likelihood estimate for the time of the shift. Another set of estimates is obtained by considering the multivariate EWMA control chart. We compare these various estimates of the time of the shift through simulation.

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