Change Point Estimation of Multivariate Linear Profiles Under Linear Drift

Abstract

In this paper, maximum likelihood estimators (MLE) for both step and linear drift changes in the regression parameters of multivariate linear profiles are developed. Performance of the proposed estimators is compared under linear drift changes in the regression parameters when a combined MEWMA and Chi-square control charts method signals an out-of-control condition. The effect of smoothing parameter of MEWMA control charts, missing data, and multiple drift changes on the performance of the both estimators is also evaluated. The application of the proposed estimators is also investigated thorough a numerical example resulted from a real case.

Keywords:

• Change point estimation
• Linear drift
• Maximum likelihood estimator
• Multivariate linear profile
• Statistical process control
• Step change

Acknowledgments

The authors are grateful to the anonymous reviewer for his precious and constructive comments which led to significant improvement in the paper.