Construction of a Control Chart Using SSM for Multivariate t Distribution Data

Abstract

The main purpose of this research is to construct a chart for controlling the mean and variance together of a data distributed multivariate t distribution using State Space Model (SSM) through applying Bayes' Factors (BF). The constructed control chart will undertake the case when parameters' vector is unknown and variance matrix is known. Then, drawing the series of these factors on the univariate modified EWMA chart after assuming that the series has an ARMA (1,1) model. Finally, applying assumed model on simulated data.