Shows the T2 chart. Hotelling’s T2 chart is a multivariate extension of the X-bar chart that takes correlation into account.
Set the α level used to calculate the control limit. The default is α=0.05.
The option creates two multivariate control charts: T Square with Big Principal Components and T Square with Small Principal Components. Suppose that you enter r as the number of major components when you first select the option. The chart with Big Principal Components is based on the r principal components corresponding to the r largest eigenvalues. These are the r components that explain the largest amount of variation, as shown in the Percent and Cum Percent columns in the Principal Components: on Covariances reports. The chart with Small Principal Components is based on the remaining principal components.
For a given subgroup, its T2 value in the Big Principal Components chart and its T2 value in the Small Principal Components chart sum to its overall T2 statistic presented in the T2 with All Principal Components report. For details about how the partitioned T2 values are calculated, see Kourti, T. and MacGregor, J. F., 1996.
In the Example of Change Point Detection, data are divided into two groups. The first 24 observations are classified as the first group. The remaining observations are classified as the second group.
p-value for the test.