Would some type of multivariate SPC be useful? Potentially useful options might include those based on SPC using PCA, or perhaps Hotelling's T2.
Maybe you would find something useful in a package such as rrcov? http://cran.r-project.org/web/packages/rrcov/vignettes/rrcov.pdf R/S Cliff On Sun, Jan 8, 2012 at 11:16 AM, David Winsemius <[email protected]> wrote: > > On Jan 8, 2012, at 3:01 AM, Iasonas Lamprianou wrote: > >> Dear all, >> I am not sure if this is the right place to ask this question, but I will >> have a go. Please redirect me to a different place if this is not the right >> one! >> >> I have a (relatively) simple problem which causes me some frustration >> because I cannot find the solution. I measure ten variables (var1 to var10) >> every day, they are all continuous (linear) and most of them are correlated. >> Some days, for any reason, the relationship between these variables may >> change. They are still correlated, but their correlation may change slightly >> but practically this is important. Or, one of the variables may increase its >> value significantly suddenly and keep this high value for a few days and >> then come back to the normal level. I am using R. Is there any function I >> can use to help me identify these strange days when the relationship between >> these variables changes? For example, if DayX is such a strange day, factor >> analyzing the data before DayX and after DayX separately would give me >> different factors (princial components). But how can I identify such a daym >> without trial and error? > > > The zoo package has `rollapply`. You would of course be required to be much > more specific in defining your problem than you have been so far. > > -- > David Winsemius, MD > Heritage Laboratories > West Hartford, CT > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
