European Journal of Operational Research 285 (2020) 296–305

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European Journal of Operational Research

journal homepage: www.elsevier.com/locate/ejor

Stochastics and Statistics

Dynamic VAR model-based control charts for batch process

monitoring
Danilo Marcondes Filho∗, Marcio Valk
Department of Statistics, Universidade Federal do Rio Grande do Sul, Av. Bento Gonçalves, 9500, Porto Alegre 91509-900, RS, Brazil

a r t i c l e i n f o a b s t r a c t

Article history: In the field of Statistical Process Control (SPC) there are several different approaches to deal with
Received 18 March 2019 monitoring of batch processes. Such processes present a three-way data structure (batches × variables ×
Accepted 23 December 2019
time-instants ), so that for each batch a multivariate time series is available. Traditional approaches do not
Available online 13 January 2020
take into account the time series nature of the data. They deal with this kind of data by applying multi-
Keywords: variate techniques in a reduced two-way data structure, in order to capture variables dynamics in some
Quality control way. Recent developments in SPC have proposed the use of the Vector Autoregressive (VAR) time series
Vector Autoregressive Model model considering the original three-way structure. However, they are restricted to control approaches
VAR coefficients focused on VAR residuals. This paper proposes a new approach to deal with batch processes focusing on
Batch process VAR coefficients instead of residuals. In short, we estimate VAR coefficients from historical in-control ref-
Control charts erence batch samples and build two multivariate control charts to monitoring new batches. We showcase
the advantages of the proposed methodology for offline and online monitoring in a simulate example
comparing it with the residual-based approach.
© 2019 Elsevier B.V. All rights reserved.

1. Introduction structure has two classical forms. The classical approach of

Batch processes are widely used in chemical, biochemical, phar-
maceutical, and food industries. This kind of processing involves
charging a vessel with row materials, processing under conditions
controlled by many process variables according to standard time
trajectories, and discharging the final product after the batch is fin-
ished. During the batch, multiple measurements of these process
variables are obtained, yielding a large amount of information to
be used in performance evaluation.
Data from batch processes can be arranged as a tri-dimensional
array with dimension (I × K × T), where I represents the number
of batches, K represents the number of variables and T represents
the number of time-instants. More specifically, for each batch, a
K-dimensional time series of size T is available, containing data
with a strong dynamic feature. In a wide range of traditional
monitoring approaches, the data is rearranged to compose a two-
dimensional data array and analyzed by using multivariate tech-
niques like Principal Components, Partial Least Squares, Support
Vector machines, Neural Networks, etc. This two dimensional
∗
Corresponding author.
E-mail addresses: marcondes.filho@ufrgs.br (D.M. Filho), marcio.valk@ufrgs.br
(M. Valk).
Nomikos and MacGregor (1995) uses the data array (I × KT), so that
the dynamic behavior of the process variables is prioritized (time-
wise analysis), i.e., they focus on the serial correlations [Fig. 1(a)].
Wold, Kettaneh, Fridén, and Holmberg (1998) proposes an al-
ternative approach using the arrangement (IT × K), in which the
variable-wise analysis is prioritized. This approach focuses on the
cross correlation among variables and allows diagnostics of process
disturbances [Fig. 1(b)]. Camacho, Picó, and Ferrer (2009) presents
a wide discussion about advantages and disadvantages of these
two approaches. However, there is not a consensus about what
is the best strategy and there is a trade-off between modeling
cross and serial correlation. Some improvements and applications
of these approaches can be found in Van den Kerkhof, Gins, Van-
laer, and Van Impe (2012), Peng, Liu, Hu, Xi, and Chen (2014) and
Wang, Liu, Qiu, Yu, and Zhao (2018).
Time series models have been considered in order to deal with
multivariate statistical process control, more specifically, the VAR
model. However, most of these approaches are restricted to mon-
itoring continuous process, i.e., processes that have the intrinsic
two-way structure (I × K). So, since there are no replications of
measures in each sample, there is no time dimension. These ap-
proaches use a VAR model to eliminate the correlation within the
I samples, which is a necessary condition to apply classical multi-
variate techniques. Basically, in a preliminary stage they propose a

https://doi.org/10.1016/j.ejor.2019.12.038
0377-2217/© 2019 Elsevier B.V. All rights reserved.
 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305 297

(a) useful for forecasting and jointly describing the dynamical behav-
ior of financial time series and allows expressing the evolution of
a set of K variables as a linear function of their past values. The
basic form of the VAR(p) model is


p
zt = 0 +  j zt− j + ut , t ∈ Z, (1)
j=1

where 0 is a K × 1 vector of constants, j , j = 1, . . . , p is a

K × K matrix of model coefficients and ut is a K × 1 vector of er-
ror terms satisfying E[ut ] = 0, Var[ut ] =  and Cov[ut , ut+h ] = 0,
p
for every h = 1, 2, 3, . . . . If det(I K ζ p − j=1 1 ζ p− j ) = 0 for {ζ ∈
(b)
C; |ζ | ≤ 1}, then the VAR(p) process is called stable.

2.1. Model estimation

Properties of multivariate least squares (LS) estimation for VAR

models are discussed in Lütkepohl (2005). Let z = (z1 , . . . , zT ) be a
time series of dimension (K × T). Denote by

 = (0 , 1 , . . . ,  p ) (2)
Fig. 1. (a) Time-wise analysis: I × KT two-way design by Nomikos and MacGregor
(1995). (b) Variable-wise analysis: IT × K two-way design by Wold et al. (1998). a (K × (K p + 1 ))-matrix of coefficients from Eq. (1). Let wt =
(1, zt , . . . , zt−p+1 ) be a vector of length (K p + 1 ) and define W =
(w0 , . . . , wT −1 ) a ((K p + 1 ) × T ) dimensional matrix. Additionally,
VAR model in order to estimate data serial correlation. In a post define a (K × T)-matrix U = (u1 , . . . , uT ). Using vectorial notation
stage, classical control charts are used in the VAR residuals to we can rewrite (1) as
monitor the behavior of future samples. An overview of these ap-
proaches can be found in Snoussi (2011), Pan and Jarrett (2012), v = ( W  IK )φ + u, (3)
Vanhatalo and Kulahci (2015), Leoni, Costa, Franco, and Machado where φ = Vec(), and u = Vec(U ),  is the Kronecker product
(2015) and Simões, Leoni, Machado, and Costa (2016). and Vec is the operator that transform a matrix into a vector. We
An approach to deal with monitoring of batch processes note that the covariance matrix of u is u = IT  . The multivari-
based on VAR models was first proposed by Choi, Morris, and ate LS estimator of φ is
Lee (2008). They consider the data batch structure (I × K × T) as
I K-dimensional time series of size T. In short, the authors propose 
φ = ((WW )−1  IK )v. (4)
a set of charts based on the traditional Hotelling statistic to moni-
tor the VAR residuals, obtained thought the adjusted VAR from the From Proposition 3.1 in Lütkepohl (2005) we have that for a
I historical samples, in a reduced variable space by using Partial stable K-dimensional VAR(p) process with standard white noise in-
P
Least Squares. Through a benchmark batch process, they show that novations, the result T1 WW −
→ H holds with H non singular (it
the residual-based control approach outperforms competitive clas- means that T1 WW converges in probability to a limit H). Further-
sical approaches such as Nomikos and MacGregor (1995) and Wold more the LS estimator is consistent and asymptotically normal,
et al. (1998). Their VAR residuals scheme seems to hold substantial that is,
information about the variables dynamics, considering serial and
T 2 (
L
 − ) −
φ − φ ) = T 2 Vec(
1 1
cross correlations simultaneously. → N ( 0 , φ ) as T → ∞, (5)
This paper proposes a new approach to deal with batch pro- L
cesses using VAR models focused on the VAR coefficients instead of where φ = H−1  . The notation −
→ means convergence in dis-
the residuals. A monitoring scheme based on the estimated coeffi- P
tribution and −
→ means convergence in probability. In order to as-
cients from the adjusted VAR model is presented. In short, we es- sess the asymptotic dispersion of the LS estimator, we need to es-
timate VAR coefficients for each historical batch sample and com- timate the matrix φ . A consistent estimator for φ is given by
pute information about the standard serial and cross correlations Lütkepohl (2005)
of the in-control process. After that, we use the Hotelling and the
Generalized Variance control charts for offline and online monitor-  = T
 φ (WW )−1  z(IT − W (WW )−1 W )z. (6)
ing of new batches. Through a simulated batch process, we show T − Kp − 1
that the proposed Dynamic VAR-based control charts outperforms
the residual-based approach. 3. Multivariate statistical control
The paper is organized as follows: a brief description of the
VAR models and the traditional multivariate control charts are pre- This section describes briefly the two classical multivariate con-
sented in the background Sections 2 and 3. The proposed monitor- trol charts: the Hotelling and Generalized Variance charts for moni-
ing strategy is presented in Section 4. In Section 5, the proposed toring means and the covariance structure, respectively.
approach is illustrated through simulated data from an appropri- Let X ∼ N (μ0 , 0 ) be a K-dimensional normal random variable,
ate toy model. Conclusions are presented in Section 6. where μ0 is the vector of means and 0 is the covariance struc-
ture of the in-control process. In phase I, μ0 and 0 are esti-
2. Vector Autoregressive Model mated through independent reference samples from the in-control
process, i.e., without any contamination in the covariance struc-
The VAR model is widely used in modeling multivariate time ture caused by some atypical event in the process. The control
series. This model, initially proposed by Sims (1980), is specially chart widely used to monitor multivariate means is based on the
298 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305

Hotelling statistic T 2 (Montgomery, 2007). In phase II , consider- the new batch is monitored using (7) and (8) rewritten in the fol-
ing a new sample of size one, the T 2 statistic has the following lowing way:
form: −1 C (I + 1 )(I − 1 )
Tφ2 = (
φnew − φ ) φ (

K (n + 1 )(n − 1 )
φnew − φ ) ∼ FC,I−C (10)
 −1 I (I − C )
T = (x − x ) S
2
(x − x ) ∼ FK,n−K , (7)
n (n − K ) and
where T 2 is F-distributed, x and S represent the sample mean vec-
tor and the sample covariance, respectively, obtained from n refer- Wφ = −C (T − 1 ) + C (T − 1 )ln(T − 1 ) − (T − 1 )D + E ∼ χC2(C +1)/2 ,
ence samples. In each new sample, the score T 2 is obtained by (7). (11)
Scores above the α percentile may imply that the new observation   (−1 )
was obtained from a process with μ = μ0 . In a practical sense, it in which D = ln det(A )/ det(φ ) , E = tr (φ A ). C is the length

of φ and A = (T − 2 ) 
means that this observations was sampled during the process in φnew , where φnew is the estimated covari-
which the variables (or a subset of them) have values far from 
ance matrix obtained from the φ . Scores above the α percentile
new
their expected values. in Tφ2 or Wφ imply that the correlation structure of the variables
Consider once more the K-dimensional normal random variable
(cross or serial correlation from lag 1 to p) are very different to
X ∼ N (μ0 , 0 ). The process covariance structure can be monitored
their expected values for the in-control process. The overall view
by the control chart based on the statistic called Generalized Vari-
is shown in [Fig. 2(a)].
ance. In phase II , for a new group of samples of size m, the W
statistic has the following form:
4.2. Online design
 
det (A )
W = −Kn + Knln(n ) − nln + tr (S−1 A ) ∼ χK2(K +1)/2 , Consider once more the arrays Zi = (zi,1 , . . . , zi,T ), for
det (S )
i ∈ {1, . . . , I}, containing the I sampled K-dimensional time se-
(8) ries of size T, obtained from the in-control batch process. In order
to propose an online control approach, as in preliminary stage
where W is χ 2 -distributed and S is obtained from n reference sam-
we must design the online reference distribution for the in-control
ples. Here A = (m − 1 )Si , in which Si is the covariance matrix of
observations using the historical batches Zi . First we randomly
the new group of observation of size m. For the new group of m
split these I samples into two groups of size I/2: the random group
samples, the score W is obtained by (8) and scores above the α f f f
Zrj = (zrj,1 , . . . , zrj,T ) and the fitting group Zi = (zi,1 , . . . , zi,T ), with
percentile may imply that the new group of observation was ob-
i, j ∈ {1, . . . , I/2}.
tained in a process with  = 0 . In this case, notice that the co-
For each fitting element Zi , in each time-instant t ∈ {1, . . . , T },
f
variance structure is very different to the expected according to S. c
A wide description of the T 2 and W charts including real data we define the coupled array Zi,t as follow:
applications can be found in Johnson and Wichern (2007) and
Zci,1 = (zrj (s1 ),1 , . . . , zrj (s1 ),Lc −1 , zi,f 1 )
Montgomery (2007).
Zci,2 = (zrj (s2 ),1 , . . . , zrj (s2 ),Lc −2 , zi,f 1 , zi,f 2 )
4. Dynamic VAR-model based control approach
Zci,3 = (zrj (s3 ),1 , . . . , zrj (s3 ),Lc −3 , zi,f 1 , zi,f 2 , zi,f 3 )
4.1. Offline design ..
.
Consider a historical data set containing realizations of I batches Zci,t = (zrj (st ),1 , . . . , zrj (st ),Lc −t , zi,f 1 , zi,f 2 , zi,f 3 , . . . , zi,t
f
), (12)
yielding products compliant with specifications. The data represent
for t ∈ {1, . . . , L f } and
I well succeeded batches each one containing the time trajectory
of K process variables, measured at T equal time-instants (i.e., K- Zci,L f +1 = (zrj (st ),1 , . . . , zrj (st ),Lr , zi,f 2 , zi,f 3 , . . . , zi,L
f
),
f +1
dimensional time series of size T). So, for each batch, consider the
array Zi = (zi,1 , . . . , zi,T ) of dimension (K × T), for i ∈ {1, . . . , I}. As- Zci,L f +2 =( zrj (st ),1 , . . . , zrj (st ),Lr , zi,f 3 , zi,f 4 , . . . , zi,L
f
),
f +2
sume that these I samples come from the in-control process, i.e.,
..
these samples represent the trajectories of the K variables in the .
process under normal regime. Under a statistical point of view, this
Zci,T = (zrj (st ),1 , . . . , zrj (st ),Lr , zi,t−L
f f
, zi,t−L f
, . . . , zi,T ),
means that the behaviour of these samples are related to the dy- f +1 f +2

namics of the same stochastic process. Thus, it is reasonable to as- for t ∈ {L f + 1, . . . , T }, where Lr and Lf are the maximum number of
sume that this dynamic is well characterized by a VAR(p) model. observations in Zci,t from random and fitting vectors, respectively,
In phase I, for each historical batch, we fit a VAR(p) model in which Lc = Lr + L f is the length of the coupled array Zci,t . The
(1) and store the vector (column vector) of estimated parameters subscripts j(st ) represent that for each time-instant, a new random

φi (4) and  (6), for i = 1, . . . , I. In the next step, we build the
φi array Zrj is randomly chosen (according to the discrete uniform dis-
unique estimates of the mean and variance of the parameters in  tribution) to compose the coupled array Zci,t .
(2) by combining the individual estimates: The array Zci,t is composed of Lr successive observations from an
element Zrj and Lf successive observations from the fitting element
1  1 
I I
φ= φi and φ = φ i . (9) f
Zi . So, for each t we have as many coupled arrays as the fitting
I I
i=1 i=1 elements in the online reference distribution.
These estimates hold relevant information about the correlation In the next step, for each Zci,t , i ∈ {1, . . . , I/2} and t ∈ {1, . . . , T }
structure (including cross and serial correlation from lag 1 to p) of we obtain the LS estimates of the VAR(p) coefficients and denote
the K variables in the process operating in a normal regime. Since this (K × (K p + 1 )) matrix by  . Thus, for a fixed time-instant,
i,t
φ is asymptotically normally distributed (as a consequence of (5)), we have I/2 matrices   containing information on cross and
i,∗
we propose control charts based on the Hotelling T 2 and the Gen- serial correlation of lags from 1 to p among variables of the
eralized Variance W statistics, described in Section 3. In phase II , in-control process. In Section 4.4 we show that the coupled time
 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305 299

Fig. 2. The overall view of (a) offline and (b) online approaches.

series Zci,t is non-stationary and prove that the asymptotic proper-
ties of LS estimators are the same as those for the classical VAR(p)
model.
This approach aims to remove the correlation among the esti-
mates   for fixed t, and reduce the serial correlation among   ,
i,t i,t
for each i. Moreover, this approach allows monitoring of the new
ongoing batch since the first time-instant.
Our online procedure consists in applying the proposed offline
control approach for each time-instant. In phase I, we now have
I/2 batches in the reference distribution. For each time-instant, we
estimate the mean and the variance of the parameters in   monitor the cross and serial correlation simultaneously.
i,∗
like in (9). In phase II , the ongoing new batch at time-instant
t is monitored similar to (10) and (11), replacing T by Lc in (11).
Thus we can monitor the cross and serial correlation of the vari-
ables during the batch through the scores Tφ2 and Wφ2 . The overall
t t
scheme is shown in [Fig. 2(b)].
4.3. The concept behind the online methodology
The first issue to discuss is why we use an approach based
on VAR models in a context of batch processes. Such processes
generate, for each batch, K-dimensional time series of size T. As
we mentioned in the Introduction, the classical approaches do not
consider any time series framework to model this kind of data.
These tri-dimentional array (I × K × T) are rearranged to compose
a two-dimensional data array of the forms (I × KT) or (IT × K), and
some multivariate technique are used to build control charts. The
first array try to prioritize the time dynamic of the variables (serial
correlation), however it does not consider directly the cross corre-
lation structure. On the other hand, the second one seeks to do the
opposite. Through the VAR-based methodology, we can model and
The second issue is why we monitor the VAR coefficients. The
VAR-based approaches to monitoring continuous and batch pro-
cesses found in the literature are mostly focused in VAR residuals
obtained in phase I. The residuals capture, in some way, changes
in variable dynamics, including cross and serial correlations. How-
ever, through direct monitoring of VAR parameters estimates, we
are able to build a control approach with better sensitivity that al-
lows to detect changes in variable dynamics faster.
The third point is about our methodology itself. More specifi-
cally, why we split the data into random and fitting groups in phase
300 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305

I and how does the size of each portion impacts in its perfor- For the especial case where {xt }t∈Z and {yt }t∈Z are AR(1) processes
mance. For fixed Lc , if the random portion Lr of the reference cou- with autorregressive parameter φ , the coupled process becomes
pled array Zci,t is large, it decreases the charts performance, because ∞
most of the information comes from the in-control process. On the j=0 φ j at− j , if t ≤ τ ;
zt = ∞ (19)
j=0 φ εt−τ − j , if t > τ .
j
other hand, if Lr is small, the fitting portion Lf will be large caus-
ing an increase in the serial correlation among the VAR parameters
 t and, once again, the charts performance decreases. Therefore, From this representation of {zt }t∈Z is straightforward to verify

that E[zt ] = 0 and E[zt2 ] = σz2 < ∞, for all t ∈ Z, since at and ε t are
it is clear that we need a balance between the sizes Lr and Lf in ∞
each coupled array. Let us assume that the sizes Lr and Lf are sim-
independent sequences of random variables and j=0 |ω j | < ∞.
Thus, mean and variance of {zt }t∈Z do not depend on t. The au-
ilar. For large Lc , we have a lot of information about the in-control
tocovariance function of {xt }t∈Z and {yt }t∈Z are identically, that
process, decreasing the performance, and increasing computational
is γx (h ) = γy (h ) = γ (h ). The autocovariance function of {zt }t∈Z ,
time. Alternatively, small Lc causes a poor estimation of the VAR
coefficients, restrains the use of the asymptotic theory and, by con-
γzt (h ) = Cov(zt , zt+h ) is γ (h) if t and t + h are smaller than τ or,
if t and t + h are grater than τ . If t is smaller than τ and t + h are
sequence, causes instability on the charts control limits. Addition-
grater than τ , then γzt (h ) = 0. Therefore, we can write γzt (h ) as
ally, the use of the random portion in the coupled array guarantees
independence among batches for each fixed time-instant t, which
γ ( h ), if |h| ≤ |τ − t |;
is a required assumption for the T 2 and W statistics. Besides that, γzt (h ) = (20)
it minimizes the correlations among   t estimates, even thought 0, otherwise ,
this is not a central problem. which depends on t. Consequently {zt }t∈Z is a non stationary pro-
cess.
4.4. Asymptotic properties of LS estimator for coupled processes
For the stationary process {xt }t∈Z in (13), we define the parame-
ter φ = (φ1 , . . . , φ p ) and let {xt }t=1
T be a time series of size T from
The goal of this Section is to derive the asymptotic properties
{xt }t∈Z . Moreover, let
of the LS estimators of VAR(p) parameters for modelling the cou-
pled arrays Zci,t . A detailed account on the theory of coupling can 
φ = A−1
T vT , (21)
be found in Lindvall (2002). However, unlike our proposition, the T
be the LS estimator of φ where the matrix AT = T −p 1 
classical theory of coupling assume random coupling time, count- t= p+1 xt xt ,
able state space and identically initial distribution. the vector xt = (xt−1 , . . . , xt−p )  and the vector vT =
The proof procedure is similar to the one used by Fuller 1 T −1
T −p t= p+1 xt xt . The existence of AT and AT is discussed in
(1976) and concern in the univariate case, since for multivariate the Section 3.2.2 in Lütkepohl (2005). From Theorem 8.2.1 in
structure the proof differs in no substantive way from the univari- Fuller (1976) we have that
ate framework. We start defining coupled process. To do that, let
T 2 (
L
{xt }t∈Z be a univariate stochastic process AR(p) defined by 1
φ − φ ) → N (0, A−1 σ 2 ), (22)
xt = φ1 xt−1 + · · · + φ p xt−p + at , (13) P
where AT → A. Note that the expression (22) is equal to (5) when
where the roots of K = 1. The same result holds for {yt }t∈Z in (15). Although {zt }t∈Z

p
is a non stationary coupled process, we will prove that the LS es-
ζp− φi ζ p−i = 0 (14) timator of {zt }t∈Z parameters of process in (16) is asymptotically
i=1
normal.
are less than one in absolute value and {at }t∈Z are independent We first show a central limit theorem for m-dependent cou-
random variables with zero mean and variance σ 2 . Assume that pled processes. Assuming that {xt }t∈Z and {yt }t∈Z are m-dependent
E[at4 ] < ∞, for all t ∈ Z. Suppose the stochastic process {yt }t∈Z is process (Definiton 6.3.1 in Fuller (1976)), then the coupled process
an independent copy of {xt }t∈Z , defined by {zt }t∈Z is m-dependent, since the two sets (. . . , zr−2 , zr−1 , zr ) and
yt = φ1 yt−1 + · · · + yt−p + εt , (15) (zs , zs+1 , zs+2 , . . . ) are independent if s − r > m, where m is a posi-
tive integer.
where the sequence {εt }t∈Z has the same properties of {at }t∈Z . Ad-
ditionally, {at }t∈Z and {εt }t∈Z are independent for all t, s ∈ Z. We Theorem 4.1. Let {xt }t=1
T be m-dependent time series with E[xt ] = 0,
define the coupled process {zt }t=1∞ by
E[xt ] = σt < ∞, |E[xt ]| < ∞. Let
2 2 3

xt , if t ≤ τ ; 
m
zt = (16)
yt−τ , if t > τ , νt = E[xt+
2
m] + 2 E[xt+m− j xt+m ] (23)
j=1
where τ is a non random coupling time, possibly depending on t.
Note that both {xt }t∈Z and {yt }t∈Z processes are stationary. The and suppose that the limit
first natural and critical question is whether {zt }t∈Z is a station-
1
s
ary process. To answer this question we have to verify whether lim νt+ j = ν (24)
the first moments, mean, variance and covariance function are not s→∞ s
j=1
depending on t. Observe that the processes {xt }t∈Z and {yt }t∈Z may
be represented as stationary moving average processes. The MA(∞) exists and it is uniform for t ∈ {1, 2, 3, . . . }, where ν = 0. Let {yt } be
representation are given by an independent copy of {xt }. Then, {yt } has the same asymptotic vari-
∞ ∞ ance of {xt } given by (24). Let {zt } be a coupled time series defined in
 
xt = ω j at− j , and yt = ω j εt− j , (17) (16) where the coupling time is a constant (τ ) or a function of T (τT ),
j=0 j=0 satisfying τT /T = δ ∈ (0, 1 ). Then,
where the weights ωj are defined in Fuller (1976) pg. 57. Therefore, 
T
L
zt → N (0, ν ),
1
the coupled process {zt }t∈Z can be expressed as T−2 T → ∞. (25)
∞
j=0 ω j at− j , if t ≤ τ ; t=1
zt = ∞ (18)
j=0 ω j εt−τ − j , if t > τ .
Proof. See Appendix. 
 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305 301

The next result presents the asymptotic properties of LS estima- 5. Simulation study
tors of the AR(p) coefficients for non stationary univariate coupled
time series {zt }. 5.1. Offline case

Theorem 4.2. Let {zt }t=1

T be a coupled AR(p) time series satisfying For the sake of simplicity, we consider a batch process with 2
variables in which the dynamic behaviour follows a VAR(1) model,
zt = φ1 zt−1 + · · · + φ p zt−p + ut , (26)
as described in (1), for p = 1, K = 2 and vector of intercepts 0 =
where ut is an i.i.d. (0, σ 2 ) sequence with E[ut4 ] < ∞. Then, 0.
More explicitly, we have
T 2 (
L
φ − φ ) → N (0, A−1 σ 2 ),
1
(27) zt = zt−1 + ut , (35)

where 
φ, φ and A are defined following (21). where ut represent the residual vector at time-instant t with  =
E(ut ut ). The bivariate vector of observations zt can be rewritten as
Proof. See Appendix.     
z1,t φ11 φ12 z1,t−1 u
= + 1,t . (36)
The purpose of this Section is to obtain a result similar to z2,t φ21 φ22 z2,t−1 u2,t
(5) for multivariate coupled processes. Since we have proved the
univariate case, by Theorem 8.2.3 in Fuller (1976) we have a natu- In phase I, we assume that, under normal operating conditions,
ral extension of these results for the multivariate framework. the batches are generated by:
Let {xt }t=1
T be a stable K-dimensional VAR(p) time series repre-
 
φ φ12 −0.3 0.4
sented by  = 11 = . (37)
φ21 φ22 0.4 0.5

p
The matrix  contains information about serial correlation of lag
xt =  j xt− j + at (28)
1 on the main diagonal and contains information about cross cor-
j=1
relation between z1,t and z2,t lagged by 1; and between z2,t and z1,t
where the standard white noise residuals at and the VAR coeffi- lagged by 1, on antidiagonal.
cients j are defined similar to (1). In order to evaluate the efficiency of the proposed strategy, in
The ith coordinate of xt is phase II study, we consider two scenarios, as described below:
 

p φ11 0.4 −0.3 φ12
= and , (38)
xit = ϕ ji xt− j + ait (29) 0.4 0.5 0.4 0.5
j=1
with φ11 and φ12 taking values in {−0.90, −0.85, −0.8, . . . ,
where xit is the ith element of xt , the vector ϕji is the ith 0.90, 0.95}. This values represent a wide range of disturbance lev-
row of j , and ait is the ith element of at . Now, define θ i = els. In the first case we disturb one serial correlation of lag 1 (z1,t
(ϕ1i , . . . , ϕ pi ) , i ∈ {1, . . . , K } and wt = (xt−1
 , . . . , x ) . Then, we
t−p
is chosen) and in the second case we disturb one cross correla-
can rewrite (29) as tion of lag 1 (we choose z1,t and z2,t lagged by one). These values
of  represent a typical stationary VAR. The VAR(1) time series is
xit = wt θ i + ait . (30) generated by assuming that the residual covariance matrix is the
identity ( = I).
From univariate results, a natural estimator for θ i is
In each scenario we generate 1,0 0 0 batches in phases I and

−1 II , with T = 300 time-instants. We replicate each scenario 10,000

T 
T
times. In phase I, Tφ2 (10) and Wφ (11) charts were setting to the

θi = wt wt wt xit , i ∈ {1, 2, . . . , K }. (31)
t= p+1 t= p+1 false alarm probability of α = 0.01. We adopt the ARL index (Aver-
age Run Length) to evaluate charts performance. ARL = 1/r, where r
Theorem 4.3. Let the vector time series {yt }t=1
T be an independent is the rate of batches beyond the control limits. We consider ARL0
copy of {xt }t=1 defined in (28). Define the K-dimensional coupled time
T as the average number of batches until a false alarm (for α = 0.01,
series {zt }t=1
T as ARL0 = 100), i.e., points above control limits in the process without
disturbances (in-control process). In opposite, ARL1 is the average
xt , if t ≤ τ ; number of samples until an out-of-control batch falls outside the
zt = (32)
yt−τ , if t > τ , control limits. This last one is a measure of the charts sensibility.
As a benchmark approach, we consider the residual control ap-
where the coupling time is a constant (τ ) or a function of T (τT ), proach arranged according to Choi et al. (2008), as mentioned in
satisfying τT /T = δ ∈ (0, 1 ). The vector time series {zt }t=1
T satisfy the Introduction. They propose a monitoring scheme based on VAR
adjusted residuals, obtained from historical in-control batches. In

p
phase I, the residuals from the I historical batches are arranged in
zt =  j zt− j + ut (33) a (I ( p − 1 ) × K) array, where p is the VAR order and K is the num-
j=1
ber of variables. The set of control charts based on the Hottelling
where ut and j are defined similar to (28). Then, as in (5) we have statistics is used to evaluate new batches. Considering that in our
simulations batch data is generated from a VAR(1) model, we ac-
tually do not need to estimate the VAR parameters in phase I. So,
T 1/2 ( 
L
φ − φ ) → N (0, H−1  ), (34) the residual in each time-instant is obtained by  ut = zt − zt−1 ,
  where  is given in (37). The new batches are so monitored by the
where   = (
φ = Vec() θ1 , · · · ,   = (
θ K ),   p ), 
 ,..., θ i is defined
1 proposed charts (10) and (11) using the VAR residuals of the new
  P
in (31),  = Var(ut ) and T −p t= p+1 wt wt −
1 T
→ H. batch under monitoring,  ut,new , arranged according to Choi et al.
(2008) (we call Tu2 and Wu charts). Simulations and calculations
Proof. See Appendix.  were conducted using R (Team et al., 2018).
302 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305

Table 1
Mean and standard deviation of ARL0 (in bold) and ARL1 values for disturbances in φ 11 for
comparing (Tφ2 , Wφ ) and (Tu2 , Wu ) charts.

Disturbance Tφ2 Wφ Tu2 Wu

φ 11 mean sd mean sd mean sd mean sd

0.10 1.00 0.00 2.31 0.28 60.63 1.00 3.20 0.19

0.05 1.00 0.00 3.26 0.51 68.01 1.19 6.12 0.52
0.00 1.00 0.00 5.01 0.91 74.89 1.31 12.79 1.57
−0.05 1.05 0.01 8.04 1.74 81.09 1.51 26.63 4.91
−0.10 1.32 0.03 14.01 3.73 86.54 1.58 50.07 12.15
−0.15 2.42 0.11 25.07 8.10 90.93 1.80 77.22 23.45
−0.20 7.26 0.68 48.27 21.21 94.33 1.84 98.48 39.30
−0.25 32.80 6.21 84.90 56.58 96.36 1.89 105.26 43.39
−0.30 101.93 38.36 99.54 30.13 97.01 1.92 108.41 49.26
−0.35 43.46 10.21 83.73 44.59 96.27 1.90 103.91 38.65
−0.40 8.70 0.88 36.11 13.52 93.77 1.83 93.18 43.42
−0.45 2.48 0.12 11.87 3.11 89.42 1.68 62.38 18.76
−0.55 1.04 0.01 1.78 0.17 74.76 1.33 10.44 1.16
−0.60 1.00 0.00 1.18 0.04 64.28 1.11 3.79 0.24
−0.65 1.00 0.00 1.02 0.01 51.90 0.87 1.75 0.06
−0.70 1.00 0.00 1.00 0.00 38.35 0.64 1.16 0.02

Table 2
Mean and standard deviation of ARL0 (in bold) and ARL1 values for disturbances in φ 12 for com-
paring (Tφ2 , Wφ ) and (Tu2 , Wu ) charts.

Disturbances Tφ2 Wφ Tu2 Wu

φ 12 mean sd mean sd mean sd mean sd

0.05 1.00 0.00 1.97 0.29 64.93 1.09 4.70 0.36

0.10 1.00 0.00 3.16 0.67 71.63 1.28 9.62 1.05
0.20 1.14 0.02 11.66 3.46 84.24 1.57 42.34 9.78
0.25 1.78 0.07 24.06 8.74 89.50 1.71 72.70 22.99
0.30 4.97 0.38 51.27 21.85 93.53 1.83 96.22 45.10
0.35 24.56 4.41 91.35 58.36 96.20 1.89 105.40 40.88
0.40 104.62 43.50 115.69 81.73 97.01 1.95 107.82 41.54
0.45 38.09 8.42 80.10 44.76 95.98 1.94 105.86 45.57
0.50 6.06 0.55 34.85 18.13 92.92 1.71 92.58 30.93
0.55 1.84 0.07 12.35 3.48 88.03 1.62 63.21 19.24
0.65 1.01 0.00 2.30 0.33 73.62 1.32 12.05 1.47
0.70 1.00 0.00 1.41 0.11 64.80 1.13 4.80 0.36

Tables 1 and 2 summarize the results of both approaches in
each scenario. The tables show the mean and standard deviation
of ARL values for each disturbance. The results of the two scenar-
ios are similar. Therefore, they will not be commented separately.
In the bold line we highlighted that the observed ARL0 is close
to the chosen nominal value of 100, which is consistent with the
fact that no disturbance were introduced in the process. For the
remaining cases, either in the Hotelling T 2 as the W charts, it
is evident from the ARL1 values that the proposed Dynamic VAR-
based charts outperform the residual-based charts in detecting dis-
turbances of different intensities. Additionally, we notice that the
degree of detection in our approach increases faster as the pertur-
bations get more intense. Even for the higher values disturbances,
the performance of our approach remains better than the residual-
based charts. We emphasize here the power of the proposed ap-
proach (based on estimates of correlations in ) to capture infor-
mation about process dynamics.
5.2. Online case
t .
Lets assume again the simulated process presented in (35) and
(36) with the in-control parameters described in (37). In
phase II we consider the scenario for disturbances as de-
scribed in (38) with φ11 and φ12 taking values in the set
{−0.4, −0.3, −0.2, 0.0, 0.2, 0.4}. For each scenario in phase I we
generate I = 20 0 0 batches of T = 30 0 time-instants, which are
equally split into random and fitting sets. In phase II , we gener-
ate 100 batches with 100 replications of each disturbance. For out
of control processes, disturbances were imposed in three different
time-instants (t∗ ), taking values in {5, 50, 200}. For the coupled
arrays we set Lc = 50, Lr = 30 and L f = 20. We use ARTL index (Av-
erage Relative Time Length) to evaluate the charts performance. The
ARTL records the number of time-instants, from t∗ , until the chart
signalize the out of control condition, given the maximum number
(T − t ∗ ) of time-instants available. We set the false alarm probabil-
ity to α = 0.01, which corresponds to ARL0 = 100.
The benchmark approach is again based on the work of Choi
et al. (2008). The residuals from the adjusted VAR model are ar-
ranged in a (I ( p − 1 ) × K) array. In the online context we cannot
fully apply this approach, since the estimates of residual covari-
ance at every new time-instant are not available. So we can not
use the W based-chart to monitor an ongoing batch. For that rea-
son the online comparative study is performed using only the Tu2
chart (the Hotelling T 2 based on VAR residuals). Its important to
notice that this is an additional advantage of our approach over the
residual based one. The Tφ2 and Wφ2 charts allow monitoring both
t t
mean and covariance of
Tables 3 and 4 summarizes the results of both approaches in
each scenario. The tables show the mean and standard deviations
of the ARTL values for each disturbance. In the bold line we high-
lighted that ARL0 values is closed to the nominal target of 100,
since the charts were set to false alarm probability of α = 0.01. As
in the offline case, the results of the two scenarios are similar and
will not be commented separately.
Notice that the ARTL measure, for each scenario t∗ , is associated
to a distinct probability space, since the remaining times (T − t ∗ )
 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305 303

Table 3
Mean and standard deviation of ARL0 (in bold) and ARTL values for disturbances in φ 11
for comparing (Tφ2 , Wφ2 ) and (Tu2 ) charts.
t t

t∗ Disturbance Tφ2 Wφ2 Tu2

t t

φ 11 mean sd mean sd mean sd

5 0.4 0.063 0.004 0.159 0.016 0.089 0.009

5 0.2 0.102 0.009 0.242 0.024 0.178 0.018
5 0.0 0.179 0.016 0.292 0.031 0.268 0.025
5 −0.2 0.270 0.030 0.317 0.026 0.326 0.029
5 −0.3 118.434 8.808 122.962 8.606 132.331 8.700
5 −0.4 0.310 0.024 0.324 0.026 0.326 0.025
50 0.4 0.073 0.005 0.187 0.018 0.105 0.013
50 0.2 0.125 0.012 0.272 0.024 0.209 0.019
50 0.0 0.208 0.019 0.314 0.027 0.295 0.026
50 −0.2 0.299 0.027 0.341 0.031 0.339 0.027
50 −0.3 116.546 8.720 124.735 8.349 133.298 8.402
50 −0.4 0.332 0.024 0.346 0.029 0.337 0.025
200 0.4 0.189 0.014 0.334 0.032 0.235 0.020
200 0.2 0.280 0.023 0.339 0.044 0.319 0.031
200 0.0 0.336 0.038 0.320 0.057 0.324 0.051
200 −0.2 0.319 0.052 0.305 0.049 0.314 0.057
200 −0.3 118.020 8.109 123.394 9.260 133.861 8.638
200 −0.4 0.296 0.057 0.294 0.057 0.320 0.065

Table 4
Mean and standard deviation of ARL0 (in bold) and ARTL values for disturbances in φ 12
for comparing (Tφ2 , Wφ2 ) and (Tu2 ) charts.
t t

t∗ Disturbance Tφ2 Wφ2 Tu2

t t

φ 12 mean sd mean sd mean sd

5 0.4 117.119 8.658 123.914 8.569 131.826 7.543

5 0.3 0.263 0.024 0.321 0.030 0.324 0.028
5 0.2 0.197 0.019 0.314 0.031 0.294 0.026
5 0.0 0.115 0.010 0.279 0.027 0.215 0.020
5 −0.2 0.076 0.005 0.239 0.026 0.136 0.014
5 −0.4 0.058 0.003 0.184 0.022 0.084 0.008
50 0.4 116.644 7.319 125.233 8.951 131.199 9.022
50 0.3 0.283 0.026 0.342 0.030 0.338 0.025
50 0.2 0.231 0.022 0.334 0.030 0.324 0.024
50 0.0 0.136 0.012 0.307 0.024 0.243 0.022
50 −0.2 0.091 0.006 0.269 0.028 0.158 0.015
50 −0.4 0.070 0.004 0.216 0.024 0.098 0.009
200 0.4 117.075 9.036 123.523 8.132 133.939 8.779
200 0.3 0.334 0.045 0.302 0.057 0.317 0.057
200 0.2 0.332 0.040 0.310 0.056 0.317 0.047
200 0.0 0.298 0.026 0.313 0.056 0.329 0.045
200 −0.2 0.222 0.017 0.346 0.048 0.301 0.032
200 −0.4 0.174 0.010 0.351 0.035 0.225 0.020

do not have the same length. So, we cannot compare the ARTL for
different t∗ . However, for each t∗ , the set of charts Tφ2 and Wφ2
t t
present better ARTL values than Tu for all disturbance sizes. Addi-
tionally, the degree of detection of these charts increases faster as
the perturbations get more intense. We emphasize that, for small
t∗ , the sensibility of our Dynamic VAR-base approach is even more
pronounced over the residual based approach, showing a good
monitoring power from the very first time-instant.
In order to show that the performance of the proposed method
are not affected by the number of batches used to built the con-
trol charts, Table 5 summarizes ARTL results of additional simula-
tions varying the number of batches in the reference data set (200
and 500) with two levels of disturbances in φ 11 and φ 12 . For the
previous one, the in-control value is φ11 = −0.3 and the distur-
bances are 0.0 (moderate) and 0.4 (severe). For the later, the in-
control value is φ12 = 0.4 and the disturbances are 0.0 (moderate)
and −0.2 (severe). The results are very similar to the previous ones
presented in Tables 3 and 4, for which 10 0 0 batches were consid-
ered in the reference data set. We can see that, regardless of the
time-instant t∗ that the disturbance was introduced, the size of the
data set used to determine the control limits does not change the
good performance of Tφ2 .
t
5.3. Choice of tuning parameters
As we mentioned in Section 4.3 the proposed approach is sen-
sitive to the choice of Lr , Lf and Lc values. The choice of this values
in the simulated case study were based on a previous analysis con-
sidering the ideas discussed in Section 4.3. Although we are not
concerned on finding the optimal set, we have made preliminary
simulations varying the size of Lc (from 15 to 70) and the propor-
tion of elements (Lr , Lf ) in Lc from (40%, 60%) to (60%, 40%). We
noticed that the charts performance decreases only for the small-
est size of Lc . For values of Lc higher than 40 the charts became
very sensitive to detect disturbances of any intensities. However,
for the highest values of Lc (close to 70), the computational bur-
den increases considerably. Additionally, we observed that varying
the proportion of elements of the pair (Lr , Lf ) doesn’t impact sig-
nificantly the charts performance.
304 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305

Table 5
Mean and standard deviation of ARTL values for comparing (Tφ2 , Wφ2 ) and (Tu2 ) charts for two in-
t t
tensity levels (moderate and severe) of disturbances in φ 11 and φ 12 , and two different sample sizes
(200 and 500).

In-control I t∗ Disturb. Tφ2 Wφ2 Tu2

t t

Parameter #bat mean sd mean sd mean sd

5 0.4 0.053 0.005 0.128 0.016 0.090 0.009

5 0.0 0.124 0.015 0.220 0.029 0.273 0.028
200 50 0.4 0.063 0.005 0.155 0.019 0.106 0.010
50 0.0 0.152 0.017 0.246 0.027 0.290 0.023
200 0.4 0.161 0.014 0.314 0.029 0.241 0.024
φ 11 =−0.3 200 0.0 0.304 0.030 0.350 0.047 0.326 0.049
5 0.4 0.060 0.004 0.150 0.016 0.090 0.010
5 0.0 0.160 0.018 0.270 0.030 0.267 0.025
500 50 0.4 0.072 0.005 0.177 0.020 0.107 0.011
50 0.0 0.195 0.020 0.294 0.029 0.297 0.026
200 0.4 0.179 0.014 0.332 0.031 0.236 0.024
200 0.0 0.339 0.037 0.323 0.047 0.322 0.048

5 −0.2 0.061 0.005 0.193 0.033 0.137 0.015

5 0.0 0.087 0.009 0.218 0.031 0.217 0.022
200 50 −0.2 0.075 0.007 0.214 0.027 0.158 0.014
50 0.0 0.103 0.010 0.247 0.033 0.245 0.024
200 −0.2 0.184 0.017 0.351 0.038 0.302 0.027
φ 12 =0.4 200 0.0 0.244 0.024 0.352 0.035 0.323 0.039
5 −0.2 0.072 0.005 0.220 0.022 0.137 0.013
5 0.0 0.105 0.009 0.265 0.034 0.216 0.020
500 50 −0.2 0.085 0.007 0.252 0.027 0.160 0.015
50 0.0 0.125 0.012 0.286 0.031 0.247 0.024
200 −0.2 0.212 0.016 0.343 0.039 0.301 0.029
200 0.0 0.288 0.025 0.346 0.050 0.327 0.042

We conclude that, considering batches that generate time-series
of sizes of at least 300 time-instants, the choice of Lc around 40–
50 with nearly equal proportion of elements in (Lr , Lf ) will offer
charts settings close to optimal performance.
5.4. Computational aspects
It is important to highlight that the computational complexity
of our approach may only be an issue in the online charts set-
tings, since we need to run coupled vectors from the reference
batches to obtain control limits for every time-instant. However,
this procedure has a very short computational time comparing to
the number of batches and time-instants in the reference data set.
In our simulation study for a reference set of 10 0 0 batches with
300 time-instants each, with Lc = 50 (Lr =20, L f = 30), the average
time to calculate the online limits is 1.3 minutes by using a PC
with a standard configuration [Intel(R) Core(TM) i7-4770 3.4GHz].
Additionally, we must keep in mind that this procedure of “setting
limits” is done only once, so this time length is very reasonable,
making our approach computationally feasible for online monitor-
ing.
In the monitoring phase the computational time is even faster.
Considering a new ongoing batch, the time spent to calculate the
Tφ2 and Wφ2 scores for each time-instant is about 0.0 0 033 seconds
t t
on the average. These facts confirm how computationally applica-
ble the method is.
5.5. Pratical issues
We have showcase the capabilities of the proposed approach
in monitoring a toy model representing a batch process in which
the variable dynamics is described by a VAR(p), with p = 1, with-
out intercept (0 = 0). However, the proposed method can work
easily on more complex processes, including the case p > 1 needed
for VAR fitting and in the presence of intercepts. Indeed, the pro-
posed approach is independent of p and 0 . In a practical sense,
for a real reference data set we can estimate the VAR order (p)
in a previous stage and, once p is defined, perform our VAR-based
control charts by using Eqs. (2)–(4) and (6), including as many j ,
for j = 1, . . . , p, as the number p. Additionally, considering that we
are concerned only in the monitoring of the variables dynamic (re-
gardless the variables means), even if the real data demands a non
zero intercept, we can vanish this term by subtracting each vari-
able from their means for each batch in a previous step. This oper-
ation fully preserves the data dynamics and turns 0 = 0, making
the presented approach applicable without any modification.
6. Conclusion
This paper presented a new approach to deal with batch pro-
cesses using VAR models focused on the VAR coefficients instead
of the residuals. The online and offline designs are described. We
have shown that the online version based on coupled arrays allows
powerful monitoring since the very first time-instant.
The idea of coupled array established a new class of coupled
time series with some specific characteristics. We have shown that
the asymptotic theory for least squares estimation in this class of
VAR process is very similar to the classical VAR case.
Through a simulated toy model representing a batch processes
with two variables, we have shown the proposed model outper-
forms the residual-based control charts in both offline and on-
line context. The proposed approach based on the estimated co-
efficients from  seems to work very well and hold more infor-
mation about the variable dynamics than the classical one based
on residuals.
Although performing efficiently in the simulated examples pre-
sented above, some aspects of Dynamic VAR-based charts use may
be challenging to practitioners, requiring further refinements in the
method. Three of them are easy to solve and, although not explic-
itated in this article, are mentioned here: (i) extension of the pro-
posed method to monitoring batch process with more (or many
more) than two variables and when the VAR order is p > 1; (ii) de-
velopment of diagnostics tools to support the interpretation of out-
of-control signals; (iii) extension of the proposed methodology to
 D.M. Filho and M. Valk / European Journal of Operational Research 285 (2020) 296–305
modeling data in phase I when the underling process is unknown
(as in a real dataset), including non stationarity, identification of
the VAR order p and considering cross contemporary correlations
(correlations of lag 0). All of these issues are easy to handle in the
proposed approach and already currently being addressed by the
authors.
Declaration of Competing Interest
None.
Acknowledgments
We thank Gabriela Cybis and Guilherme Pumi for fruitful dis-
cussions leading to this paper.
Supplementary material
Supplementary material associated with this article can be
found, in the online version, at 10.1016/j.ejor.2019.12.038
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