On the Hotelling T2 control chart for the vector autoregressive process

A vector autoregressive (VAR) model has become a popular multivariate monitoring technique for serially correlated observations often observed in practice. In this article, we examine, via a Monte Carlo approach, the effect of a shift in the model parameter and the sample size in both Phase I and Phase II schemes on control chart statistics, namely, different versions of Hotelling's T
²
when a VAR model is employed. The effects are reported and specific T
²
statistics under various sample sizes is recommended.