A Likelihood Ratio Test Approach to Profile Monitoring in Tourism Industry

A new statistical profile monitoring technique to monitor and detect changes in logistic profiles with an application in the tourism industry is presented in this paper. In the statistical process control literature, profile is usually referred to as a relationship between a response variable and one or more explanatory variables. In the tourism case study presented in this paper, time is considered as the explanatory variable and tourism satisfaction as the response variable. The Likelihood ratio test is used as a vehicle to detect any changes in the satisfaction profile in phase II of profile monitoring. The performance of the proposed method is evaluated using the average run length criterion. The numerical data indicate satisfactory results for the proposed approach

An optimization of on-line monitoring of simple linear and polynomial quality functions

This research aims to introduce a number of contributions for enhancing the statistical performance of some of Phase II linear and polynomial profile monitoring techniques. For linear profiles the idea of variable sampling size (VSS) and variable sampling interval (VSI) have been extended from multivariate control charts to the profile monitoring framework to enhance the power of the traditional T^2 chart in detecting shifts in linear quality models. Finding the optimal settings of the proposed schemes has been formulated as an optimization problem solved by using a Genetic Approach (GA). Here the average time to signal (ATS) and the average run length (ARL) are regarded as the objective functions, and ATS and ARL approximations, based on Markov Chain Principals, are extended and modified to capture the special structure of the profile monitoring. Furthermore,the performances of the proposed control schemes are compared with their fixed sampling counterparts for different shift levels in the parameters. The extensive comparison studies reveal the potentials of the proposed schemes in enhancing the performance of T^2 control chart when a process yields a simple linear profile. For polynomial profiles, where the linear regression model is not sufficient, the relationship between the parameters of the original and orthogonal polynomial quality profiles is considered and utilized to enhance the power of the orthogonal polynomial method (EWMA4). The problem of finding the optimal set of explanatory variable minimizing the average run length is described by a mathematical model and solved using the Genetic Approach. In the case that the shift in the second or the third parameter is the only shift of interest, the simulation results show a significant reduction in the mean of the run length distribution of the EWMA4 technique

Forward Intensity Model Monitoring Using Multivariate Exponential Weighted Moving Average Scheme

We propose a parameter monitoring method for the forward intensity model – the default probability prediction model of the Credit Research Initiative (CRI). We review the relative statistical process control scheme in the field of engineering. Based on this, we propose a new Multivariate Exponential Weighted Moving Average (MEWMA) scheme to monitor the forward intensity model monthly. This new chart might be applied to identify and diagnose the out-of-control (OC) parameters in real time as the data updating, which reduces the cost of recalculating all parameters and improve the operational and calculational efficiency of the default prediction models in practical application

From Profile to Surface Monitoring: SPC for Cylindrical Surfaces Via Gaussian Processes

Quality of machined products is often related to the shapes of surfaces that are constrained by geometric tolerances. In this case, statistical quality monitoring should be used to quickly detect unwanted deviations from the nominal pattern. The majority of the literature has focused on statistical profile monitoring, while there is little research on surface monitoring. This paper faces the challenging task of moving from profile to surface monitoring. To this aim, different parametric approaches and control-charting procedures are presented and compared with reference to a real case study dealing with cylindrical surfaces obtained by lathe turning. In particular, a novel method presented in this paper consists of modeling the manufactured surface via Gaussian processes models and monitoring the deviations of the actual surface from the target pattern estimated in phase I. Regardless of the specific case study in this paper, the proposed approach is general and can be extended to deal with different kinds of surfaces or profiles

Equity and bond market signals as leading indicators of bank fragility

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading properties for both indicators. The distance-to-default exhibits lead times of 6 to 18 months. Spreads have signal value close to default only, in line with the theory. We also find that implicit safety nets weaken the predictive power of spreads. Further, the results suggest complementarity between both indicators, reducing type I errors. We also examine the interaction of the indicators with other bank information. JEL Classification: G21, G12Bank fragility, banking, Market Indicators

Seleção de variáveis aplicada ao controle estatístico multivariado de processos em bateladas

A presente tese apresenta proposições para o uso da seleção de variáveis no aprimoramento do controle estatístico de processos multivariados (MSPC) em bateladas, a fim de contribuir com a melhoria da qualidade de processos industriais. Dessa forma, os objetivos desta tese são: (i) identificar as limitações encontradas pelos métodos MSPC no monitoramento de processos industriais; (ii) entender como métodos de seleção de variáveis são integrados para promover a melhoria do monitoramento de processos de elevada dimensionalidade; (iii) discutir sobre métodos para alinhamento e sincronização de bateladas aplicados a processos com diferentes durações; (iv) definir o método de alinhamento e sincronização mais adequado para o tratamento de dados de bateladas, visando aprimorar a construção do modelo de monitoramento na Fase I do controle estatístico de processo; (v) propor a seleção de variáveis, com propósito de classificação, prévia à construção das cartas de controle multivariadas (CCM) baseadas na análise de componentes principais (PCA) para monitorar um processo em bateladas; e (vi) validar o desempenho de detecção de falhas da carta de controle multivariada proposta em comparação às cartas tradicionais e baseadas em PCA. O desempenho do método proposto foi avaliado mediante aplicação em um estudo de caso com dados reais de um processo industrial alimentício. Os resultados obtidos demonstraram que a realização de uma seleção de variáveis prévia à construção das CCM contribuiu para reduzir eficientemente o número de variáveis a serem analisadas e superar as limitações encontradas na detecção de falhas quando bancos de elevada dimensionalidade são monitorados. Conclui-se que, ao possibilitar que CCM, amplamente utilizadas no meio industrial, sejam adequadas para banco de dados reais de elevada dimensionalidade, o método proposto agrega inovação à área de monitoramento de processos em bateladas e contribui para a geração de produtos de elevado padrão de qualidade.This dissertation presents propositions for the use of variable selection in the improvement of multivariate statistical process control (MSPC) of batch processes, in order to contribute to the enhacement of industrial processes’ quality. There are six objectives: (i) identify MSPC limitations in industrial processes monitoring; (ii) understand how methods of variable selection are used to improve high dimensional processes monitoring; (iii) discuss about methods for alignment and synchronization of batches with different durations; (iv) define the most adequate alignment and synchronization method for batch data treatment, aiming to improve Phase I of process monitoring; (v) propose variable selection for classification prior to establishing multivariate control charts (MCC) based on principal component analysis (PCA) to monitor a batch process; and (vi) validate fault detection performance of the proposed MCC in comparison with traditional PCA-based and charts. The performance of the proposed method was evaluated in a case study using real data from an industrial food process. Results showed that performing variable selection prior to establishing MCC contributed to efficiently reduce the number of variables and overcome limitations found in fault detection when high dimensional datasets are monitored. We conclude that by improving control charts widely used in industry to accomodate high dimensional datasets the proposed method adds innovation to the area of batch process monitoring and contributes to the generation of high quality standard products