Robust estimation of parameters in multivariate processes

Abstract

Parameter estimation is the first step in constructing control charts. In this paper, a robust method is proposed for estimating the parameters of the multivariate process. A weighted function is applied in the estimation algorithm. Performance of the proposed method is evaluated by means of simulation both in the presence and absence of outliers. The results show that the robust estimators proposed in this research perform as well as classical estimators in the absence of outliers and much better in the presence of outliers.

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