Stochastic Differential Equation Modeling of Target Tracking Errors

Abstract

The purpose of this paper is to introduce the application of statistical process monitoring methods for mean-reverting diffusion processes. To develop the statistical process monitoring of a mean-reverting diffusion process, at first, it is assumed that the process is the sum of squares of standard Ornstein-Uhlenbeck (OU) processes. Using this assumption, the resulting process is characterized and its capability metrics are calculated. Then, the assumption is relaxed, and a generalized control charting method is provided for any diffusion process when the generalized method of moments is used for the estimation of the process parameters.

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Document Details

Document Type
Technical Report
Publication Date
Mar 04, 2021
Accession Number
AD1133166

Entities

People

  • Erich Brownlow
  • James Brownlow
  • Robert Poulsen
  • Shokoufeh Mirzaei

Organizations

  • California Polytechnic State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Data Science
  • Diffusion
  • Information Science
  • Method Of Moments
  • Monitoring
  • Standards
  • Statistical Processes

Fields of Study

  • Mathematics

Readers

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