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Multivariate Capability Analysis using Statgraphics

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7/24/2009

Summary

The Multivariate Capability Analysis procedure determines the probability that items

characterized by two or more variables meet established specifications limits. When variables are

correlated, it is important to consider their joint behavior, since looking at each variable

separately may give a misleading picture of the overall process capability.

Sample Data:

The file grit.sgd contains measurements made on n = 56 batches of grit, from Holmes and

Mergen (1993). The data represent the percentages of large, medium, and small particles in the

grit. The table below shows a partial list of the data in that file:

Large

5.4

3.2

5.2

3.5

2.9

4.6

4.4

5,0

8.4

4.2

3.8

4.3

3.7

3.8

2.6

Medium

93.6

92.6

91.7

86.9

90.4

92.1

91.5

90.3

85.1

89.7

92.5

91.8

91.7

90.3

94.5

Small

1.0

4.2

3.1

9.6

6.7

3.3

4.1

4.7

6.5

6.1

3.7

3.9

4.6

5.9

2.9

LSL

Nominal

5

5

USL

10

10

In addition to the sample, the file also contains specification limits for the relative percentages of

large and small particles, which are:

Large 10%

(1)

Small 10%

(2)

Note that the column containing the lower limits is blank, since there are no lower bounds. It is

desired to estimate the percentage of batches that meet the specification limits.

Data Input

The data to be analyzed consist of numeric columns containing the variables of interest and the

specification limits.

Upper Specification Limits: numeric column containing the upper spec limits. If a variable

does not have an upper limit, leave the corresponding cell blank.

Nominal Values: numeric column containing the nominal or target values for each variable.

If a variable does not have a target value, leave the corresponding cell blank.

Lower Specification Limits: numeric column containing the lower spec limits. If a variable

does not have a lower limit, leave the corresponding cell blank.

Analysis Summary

The Analysis Summary shows summary statistics for each column and the estimated probability

of being beyond the specification limits.

Multivariate Capability Analysis

Data variables:

Small

Large

Number of complete cases: 56

Variable

Small

Large

Sample

Mean

6.09821

5.68214

Sample

Std. Dev.

2.51154

1.94171

Variable

Small

Large

Joint

Observed

Beyond Spec.

5.35714%

1.78571%

7.14286%

LSL

Estimated

Beyond Spec.

6.01462%

1.30827%

7.18235%

Nominal

5.0

5.0

USL

10.0

10.0

Estimated

DPM

60146.2

13082.7

71823.5

Number of complete cases: the number of rows in the data file n with information on all

p variables. Any row with missing data for any variable is excluded from the analysis.

Sample Mean and Std. Dev.: the sample mean and sample standard deviation for each

variable.

Observed Beyond Spec.: the percentage of samples in which each variable was outside

its individual specification limits, together the percentage of time when the samples were

jointly outside the limits. The joint percentage includes cases in which one or more

variables were outside their individual limits.

Estimated Beyond Spec.: the percentage of similar samples in the population that are

estimated to be outside the specification limits. The estimate is based on fitting a

multivariate normal distribution to the data and estimating the area of that distribution

that is not within the joint specification limits.

Estimated DPM: the estimated defects per million, defined as the number of samples

out of each million that are estimated to fall outside the specification limits. This is

calculated from the Estimated Beyond Spec.

In the example, the samples of grit violated one or more specification limits 7.14% of the time.

Based on the fitted multivariate normal distribution, it is estimated that 7.91% of all samples

taken from the population would be jointly out of spec. It should be noted that the joint

probability is not the sum of the individual probabilities.

NOTE: the calculation of the joint estimated percentage out of spec involves integrating a

multivariate normal distribution and may be very time-consuming. Please have patience. Also,

note that Monte Carlo methods are used to derive the percentage, so that the answer may vary

slightly from that shown above if the procedure is rerun.

Capability Plot

The Capability Plot displays the fitted multivariate normal distribution for any 2 of the variables.

DPM = 71823.5

12

Small

15

02

8

46

1012

Large

The area shaded in blue corresponds to locations where all of the variables are within the

specification limits. The area shaded in red corresponds to locations where one or more of the

variables are out of spec.

Pane Options

Select 2 Variables: select two of the p variables. The marginal distribution of the 2 selected

variables will be displayed.

Reverse Variables: check this box to display the second variable along the X axis in the

front of the display. Otherwise, the first variable will be plotted on the X axis.

Capability Indices

This table display capability indices calculated from the data.

Capability Indices

Index

Estimate

MCP

0.49

MCR

205.15

DPM

71823.5

Z

1.46235

SQL

2.96235

Based on 6 sigma limits. The Sigma Quality Level includes a 1.5 sigma drift in the mean.

DPM estimated defects per million. This is the estimated number of samples taken

from the population that would be out of spec on one or more of the variables.

MCP

Z

k /2

(3)

calculated DPM, and k is the multiple of sigma specified on the Capability tab of the

Preferences dialog box, accessible from the Edit menu. Normally, k = 6. This index is

designed to have a similar interpretation to Cpk in the univariate case. Normally, it is

desirable for MCP 1.33.

MCR 100

k/2

%

Z

(4)

It is basically the inverse of MCP and expresses the percentage of the allowable variation

that is being consumed by the variability in the data.

DPM.

SQL the estimated Sigma Quality Level. This is an index of the level of quality for the

process developed as part of the Six Sigma process. Depending on the 1.5 Sigma Shift

setting on the Capability tab of the Preferences dialog box, the SQL equals either Z or

(Z+1.5).

The sample data have a capability index of MCP = 0.49, corresponding to a sigma quality level

of approximately 3. While such levels of performance are typical, achieving world class quality

would require improving process consistency.

Capability Ellipse

The Capability Ellipse shows a two-dimensional illustration of the estimated performance of the

process with respect to 2 selected variables.

MCP =0.49

14

Large

11

8

5

2

-1

-3

12

15

Small

The ellipse is drawn in such a way that it includes 99.73% of the estimated multivariate normal

probability for the selected variables, similar to 3 sigma limits on a univariate capability plot.

The rectangular region is the location within which both variables are within their specification

limits. A capable process would contain ellipse completely within the rectangular region.

Pane Options

Reverse Variables: check this box to display the second variable along the X axis.

Otherwise, the first variable will be plotted on the X axis.

2009 by StatPoint Technologies, Inc.

Multivariate Capability Analysis - 6

Correlation Matrix

This table displays the estimated correlation coefficients for each pair of variables:

Correlation Matrix

Small

Large

Small 1.0000 0.3538

Large 0.3538 1.0000

Correlation coefficients measure the strength of the linear relationship between a pair of

variables, on a scale of 1 for perfect negative correlation to +1 for perfect positive correlation.

The higher the correlations, the more important it is to analyze the variables jointly rather than

doing a separate univariate capability analysis on each variable.

The estimated process capability shown above is highly dependent on the assumption that the

data follow a multivariate normal distribution. The Tests for Normality pane performs one or

more tests on each variable to determine whether or not a normal distribution is a reasonable

model for that variable. For each test, the hypotheses of interest are:

Alt. hypothesis: data are not independent samples from a normal distribution

P-Values

Small

Large

Shapiro-Wilks

0.755982

0.314548

Skewness

0.382035

0.470987

Kurtosis

0.504427

0.721277

The tests to be run are selected using Pane Options. Each test is displayed with its associated test

statistic and P-Value. Small P-values (below 0.05 if operating at the 5% significance level) lead

to a rejection of the null hypothesis and thus to a rejection of the normal distribution. In the

above table, the P-Values are all above 0.05, so there is not statistically significant non-normality

in the data.

For a detailed description of the tests, see the documentation for Distribution Fitting

(Uncensored Data).

Pane Options

Include select the tests to include in the output. The default tests are defined on the Dist. Fit

tab of the Preferences dialog box accessed from the Edit menu.

Probability Plot

The Probability Plot is another method by which one can judge whether or not the currently

selected distribution adequately describes the data.

Probability Plot

Small

Large

empirical data

3.9

2.9

1.9

0.9

-0.1

-1.1

-2.1

-2.1

-1.1

-0.1

0.9

1.9

2.9

3.9

normal distribution

The plot shows the data values for each variable, sorted from smallest to largest, plotted against

equivalent percentiles of the fitted normal distribution. If the normal distribution is a reasonable

model for the data, the points will fall approximately along a straight line. In general, the above

plot confirms that the normal distribution is a reasonable model.

T-Squared Chart

As with all capability analyses, it is important that the process be in a state of statistical control

when the capability is estimated. In the case of multivariate data, a T-Squared Chart is useful for

examining whether the data appears to have been sampled from an in-control process.

T-Squared

12

UCL = 10.81

10

8

6

4

2

0

0

10

20

30

40

50

60

Observation

In a T-squared chart, each sample in represented by a single statistic defined by

Ti 2 ( xi x ) S 1 ( xi x )

(5)

where xi is the vector of observed values corresponding to the i-th sample, x is the vector of

sample means, and S is the sample covariance matrix. Included on the chart is an upper control

limit, placed by default to cover 99.73% of a multivariate normal distribution with the estimated

means and covariances. Any point beyond the control limit would be a signal of a potentially

out-of-control situation.

Pane Options

Alpha: the false alarm probability of the control chart. For a standard 3-sigma control chart,

= 0.27%.

Decimal Places for Limits: the number of decimal places to display for the control limit.

Color Zones: check this box to display green and red zones.

Calculations

Sample Mean Vector

xj

1 n

xij

n i 1

(6)

s jk

1 n

xij x j xik xk

n 1 i 1

(7)

UCL

(n 1) 2

Beta , p / 2,( n p 1) / 2

n

(8)

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