Dynamic PCA

•

DPCA includes a time lag shift in the model

•

Data is monitored by Hotelling’s T

2

and Q:

( )

( )

( )

0

1

l

= 







X

X

X

X

%

L

Scores

Residuals

2

T

1

T

p

T

−

= x P

Λ P x





(

)

T

T

Q

=

−

x

I

PP

x





( )

2

h

Q

g

α

χ α

=

( )

2

2
p

T

α

χ α

=

T

=

+

X

TP

E

