A Multivariate Exponentially Weighted Moving Average Control Chart |
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| Authors: | Cynthia A Lowry William H Woodall Charles W Champ Steven E Rigdon |
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| Affiliation: | 1. Finance and Decision Science Department , Texas Christian University , Fort Worth , TX , 76129;2. Department of Management Science and Statistics , University of Alabama , Tuscaloosa , AL , 35487-0226;3. Department of Mathematics and Statistics , Southern Illinois University at Edwardsville , Edwardsville , IL , 62026-1653 |
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| Abstract: | A multivariate extension of the exponentially weighted moving average (EWMA) control chart is presented, and guidelines given for designing this easy-to-implement multivariate procedure. A comparison shows that the average run length (ARL) performance of this chart is similar to that of multivariate cumulative sum (CUSUM) control charts in detecting a shift in the mean vector of a multivariate normal distribution. As with the Hotelling's χ2 and multivariate CUSUM charts, the ARL performance of the multivariate EWMA chart depends on the underlying mean vector and covariance matrix only through the value of the noncentrality parameter. Worst-case scenarios show that Hotelling's χ2 charts should always be used in conjunction with multivariate CUSUM and EWMA charts to avoid potential inertia problems. Examples are given to illustrate the use of the proposed procedure. |
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| Keywords: | Average run length Hotelling's T 2 chart Multivariate CUSUM Statistical process control |
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