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A Multivariate Exponentially Weighted Moving Average Control Chart

Cynthia A. Lowry, William H. Woodall, Charles W. Champ and Steven E. Rigdon
Technometrics
Vol. 34, No. 1 (Feb., 1992), pp. 46-53
DOI: 10.2307/1269551
Stable URL: http://www.jstor.org/stable/1269551
Page Count: 8
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A Multivariate Exponentially Weighted Moving Average Control Chart
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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 χ 2 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 χ 2 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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