A Reevaluation of the Adaptive Exponentially Weighted Moving Average Control Chart When Parameters are Estimated

The performance of control charts can be adversely affected when based on parameter estimates instead of known in‐control parameters. Several studies have shown that a large number of phase I observations may be needed to achieve the desired in‐control statistical performance. However, practitioners use different phase I samples and thus different parameter estimates to construct their control limits. As a consequence, there would be in‐control average run length (ARL) variation between different practitioners. This kind of variation is important to consider when studying the performance of control charts with estimated parameters. Most of the previous literature has relied primarily on the expected value of the ARL (AARL) metric in studying the performance of control charts with estimated parameters. Some recent studies, however, considered the standard deviation of the ARL metric to study the performance of control charts. In this paper, the standard deviation of the ARL metric is used to study the in‐control and out‐of‐control performance of the adaptive exponentially weighted moving average (AEWMA) control chart. The performance of the AEWMA chart is then compared with that of the Shewhart and EWMA control charts. The simulation results show that the AEWMA chart might represent a good solution for practitioners to achieve a reasonable amount of ARL variation from the desired in‐control ARL performance. In addition, we apply a bootstrap‐based design approach that provides protection against frequent false alarms without deteriorating too much the out‐of‐control performance. Copyright © 2014 John Wiley & Sons, Ltd.