Bivariate copulas on the Hotelling's T² control chart

ABSTRACT

In this paper, we propose five types of copulas on the Hotelling's T² control chart when observations are from exponential distribution and use the Monte Carlo simulation to compare the performance of the control chart, which is based on the Average Run Length (ARL) for each copula. Five types of copulas function for specifying dependence between random variables are used and measured by Kendall's tau. The results show that the copula approach can be fitted the observation and we can use copula as an option for application on Hotelling's T² control chart.

KEYWORDS:

• ARL
• Copula
• Exponential distribution
• Hotelling's T² control chart

Acknowledgments

The authors are grateful to the Ministry of Science and Technology, Thailand and the Graduate College, King Mongkut's University of Technology, North Bangkok for their financial support.

Conflict of interests

The authors declare that they have no conflict of interests.

Additional information

Funding

King Mongkut's University of Technology North Bangkok(10.13039/501100007345, KMUTNB-ART60-0x)