Thresholded Multivariate Principal Component Analysis for Multi-channel Profile Monitoring (1603.05265v1)

Abstract: Monitoring multichannel profiles has important applications in manufacturing systems improvement, but it is non-trivial to develop efficient statistical methods due to two main challenges. First, profiles are high-dimensional functional data with intrinsic inner- and inter-channel correlations, and one needs to develop a dimension reduction method that can deal with such intricate correlations for the purpose of effective monitoring. The second, and probably more fundamental, challenge is that the functional structure of multi-channel profiles might change over time, and thus the dimension reduction method should be able to automatically take into account the potential unknown change. To tackle these two challenges, we propose a novel thresholded multivariate principal component analysis (PCA) method for multi-channel profile monitoring. Our proposed method consists of two steps of dimension reduction: It first applies the functional PCA to extract a reasonable large number of features under the normal operational (in-control) state, and then use the soft-thresholding techniques to further select significant features capturing profile information in the out-of-control state. The choice of tuning parameter for soft-thresholding is provided based on asymptotic analysis, and extensive simulation studies are conducted to illustrate the efficacy of our proposed thresholded PCA methodology.