Universiti Teknologi Malaysia Institutional Repository

Autocorrelated multivariate process control: a geometric brownian motion approach

Sagadavan, R. and Djauhari, M. A. (2013) Autocorrelated multivariate process control: a geometric brownian motion approach. In: AIP Conference Proceedings.

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Official URL: http://dx.doi.org/10.1063/1.4823979


In real life we always come across autocorrelated multivariate process where the present process is related to the previous process. This type of process can be modeled using the traditional multivariate time series models and then the process control can be conducted based on the residual which becomes univariate in nature. However, in this paper, we show that many time series are governed by a geometric Brownian motion (GBM) process. In this case, instead of time series modeling, we only need an appropriate transformation to come up with the condition required in the traditional multivariate process control. Therefore, under GBM process, traditional multivariate process control can be used on the transformed time series data. A real industrial example will be given to illustrate the advantage of the proposed method.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:process control
Subjects:Q Science
ID Code:50922
Deposited By: Haliza Zainal
Deposited On:27 Jan 2016 09:53
Last Modified:14 Sep 2017 16:21

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