可变抽样区间的多变量自相关过程VAR控制图  

Vector Auto-regression Control Chart for Monitoring Multivariate Autocorrelation Process with Variable Sampling Intervals

作　　者：薛丽 XUE Li(College of Management and Economics, Tianjin University, Tianjin 300072, China;School of Management Engineering, Zhengzhou University of Aeronautics, Zhengzhou 450046, China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]郑州航空工业管理学院管理工程学院,河南郑州450046

出　　处：《运筹与管理》2020年第12期1-7,共7页Operations Research and Management Science

基　　金：国家自然科学基金项目(71701188,71871204);中国博士后科学基金(2016M601266);河南省高校科技创新人才计划(19HASTIT032);河南省高校科技创新团队支持计划(21RTSTHN018);河南省科技攻关计划(202102310638)。

摘　　要：基于批量-均值法的思想,向量自回归(VAR)控制图对多变量自相关过程的较小偏移可以进行有效控制。为了提高多变量自相关过程监控效率,本文研究可变抽样区间的VAR控制图。首先,对多变量自相关过程的VAR控制图进行可变抽样区间设计;然后,用蒙特卡洛模拟方法计算其平均报警时间;最后,以平均报警时间为评价准则,对所设计的可变抽样区间VAR控制图与固定抽样区间的VAR控制图进行比较研究。研究结果表明:所设计的可变抽样区间多变量自相关过程VAR控制图较固定抽样区间的多变量自相关过程VAR控制图能更好的监控过程的变化。The vector auto-regression(VAR)control chart can effectively monitor the small shift of multivariate autocorrelation process based on the idea of the batch-mean mind.To improve the monitoring efficiency for multivariate autocorrelation process,VAR control chart with variable sampling intervals(VSI)is studied.Firstly,VAR control chart with variable sampling intervals for monitoring multivariate autocorrelation process is designed;Secondly,the average time to signal of this control chart is calculated using Monte Carlo simulation method;Finally,taking the average time to signal as the evaluation criterion,VAR control chart with variable sampling intervals and fixed sampling intervals are compared.The computing results show that the VSI VAR control chart is the more efficient indetecting shifts than the fixed sampling interval(FSI)VAR control chart.

关 键 词：可变抽样区间 多变量自相关过程 VAR控制图 平均报警时间 

分 类 号：O213.1[理学—概率论与数理统计]