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Construction of bivariate copulas on the Hotelling’s \(T^2\) control chart. (English) Zbl 1454.62523

Summary: In this paper, five types of copulas, which are Gumbel, Clayton, Farlie-Gumbel-Morgenstern (FGM), Frank and Ali-Mikail-Haq (AMH) copulas are presented via construction of bivariate copulas on the Hotelling’s control chart. The observations are generated from the exponential distribution and the dependent observations are measured by Kendall’s tau \((\tau)\) values as weak, moderate and strongly positive dependences where \(\tau\) are 0.1, 0.2, 0.5, 0.6, 0.8 and 0.9, respectively. Monte Carlo simulation was used to compare the performance of the control chart with the Average Run Length (ARL) as performance metric. The results indicate that the bivariate copulas approach can be fitted to the Hotelling’s \(T^2\) control chart.

MSC:

62P30 Applications of statistics in engineering and industry; control charts
62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H12 Estimation in multivariate analysis

References:

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