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Accurate ARL Calculation for EWMA Control Charts Monitoring Simultaneously Normal Mean and Variance

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Accurate ARL Calculation for EWMA Control Charts Monitoring Simultaneously Normal Mean and Variance

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discussions, stats, and author profiles for this publication at: https://www.researchgate.net/publication/216151480

Charts Monitoring Normal Mean and Variance

Simultaneously

Article in Sequential Analysis June 2007

Impact Factor: 0.5 DOI: 10.1080/07474940701404823

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Sven Knoth

Helmut Schmidt University

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Retrieved on: 17 July 2016

Control Charts Monitoring

Simultaneously Normal Mean and

Variance

Sven Knoth

Advanced Mask Technology Center, Dresden, Germany

Abstract: EWMA control charts designed for monitoring the variance or the

mean and the variance of a normally distributed variable are either based on the log

transformation of the sample variance S 2 or provide only rough ARL results. Gan

(1995), as the most prominent example for the simultaneous case, calculated ARL

S 2 EWMA schemes. The results in Knoth and Schmid

values precisely for X-ln

2

ones are less accurate than the former one. The reason behind

the lacking precision is that the methods usually applied for ARL calculation are

not able to handle the restricted support of the chart statistic (S 2 and, of course,

S and the range R are non-negative random variables). While in Knoth (2005)

this problem is treated for single variance monitoring by solving integral equations

with collocation methods, this paper employs collocation and ideas similar to Gan

2 EWMA control charts.

(1995) in order to obtain accurate ARL values of X-S

Additionally, the appropriate choice of the non-symmetric control limits for the S 2

part of the scheme is addressed.

Control chart design; Exponentially Weighted Moving Average.

Subject Classifications: 62L10; 60J22; 47N30; 65M70.

Address correspondence to S. Knoth, AMTC Dresden, Postfach 110161, D-01330

Dresden, Germany; Fax: +49-351-4048 9158; E-mail: Sven.Knoth@amtc-dresden.com

1. INTRODUCTION

Control charts core tools of Statistical Process Control (SPC) are used

to monitor certain parameters of one or more (random) variables over time.

The main parameter of interest is the mean of the considered variable. Additionally, the performance of the variance plays a crucial role when applying a

control chart. For instance, the setting of control limits is based on reliable,

preliminary estimates of the variance. Thus, if the variance changes during

monitoring, then the average time until an alarm, false or right, is affected.

The most unpleasant case occurs when the mean changes and the variance

decreases at the same time. Then, usually, more time is needed to detect

the mean change than initially expected. Additionally, a changed (mostly

increased) variance is of importance of its own. To sum up, simultaneous

monitoring of mean and variance seems to be a quite reasonable task. Eventually, SPC software packages tend to favor most frequently X-MR (MR

control

Moving Range), X-R,

or X-S

control charts over single X or X

charts.

In practice, many control charts are applied at the same time. In general,

their joint behavior is not regarded; this is true even for charts which are

designed for the same unit. For example, in the previously mentioned simple

Shewhart control charts the control limits are seldom corrected to ensure a

certain behavior of the simultaneous charting scheme. It is quite simple

to obtain the same performance measures for the combined schemes as for

the single ones, if we consider only Shewhart charts. If we are interested

in applying more complex control charts such as EWMA (Exponentially

Weighted Moving Average) or CUSUM (Cumulative Sum), then we have to

face more complex problems.

There are several ways to form EWMA control charts with the objective

of monitoring mean and variance at the same time. Recall the so-called

omnibus charts in Domangue and Patch (1991) that exploit only a single

characteristic. Gan (1995) wrote a paper which plays an important rule

in the area of simultaneous EWMA charts. He demonstrated that EWMA

and ln S 2 , that is, the natural logarithm of the sample

schemes based on X

variance, perform quite well and dominate the preceding omnibus charts.

Additionally, he equipped the SPC public with a numerical tool to determine the Average Run Length (ARL) of combined EWMA (and CUSUM as

well) schemes. The ARL the average number of subgroups or individual

observations counted from monitoring startup, where it is assumed that the

change in the mean and/or variance happens only at the beginning is the

most popular performance measure for control charts. Thus, there is high

2

Unfortunately, Gans original approach works only for ln S 2 . The same

could be observed in papers about ARL computation for single variance

control charts (see Knoth (2005) for more details). In Knoth and Schmid

2 EWMA scheme was analyzed, but with less ac(2002) the combined X-S

curacy than Gan (1995) provided. Apart from some practical reasons (ln S 2

looks more normal than S 2 , the scale change is transformed to a step

change, and the variance of ln S 2 does not depend on the actual value 2 )

one major reason drives the usage of ln S 2 the numerical difficulties with

S 2 . These difficulties vanish after the log transformation. For ln S 2 , the

transition kernel of the EWMA sequence, more or less the distribution of

the chart statistic, is smooth, while the original sample variance leads to

a kernel which exhibits a non-smooth point. The latter is problematic for

the well-known Brook and Evans (1972) approach (Markov chain approximation) and for the so-called integral equation approach as well.

See Reynolds and Stoumbos (2001a,b, 2004) for a discussion of these

nasty problems. However, they do not provide any suitable calculation

method their results rely mainly on Monte Carlo studies. Refer to Knoth

(2005) for a more comprehensive study of ARL calculation methods. Thereby,

mean as well as variance EWMA control charts are considered.

Hence, there are two obstacles in the way of calculation of the ARL of

combined EWMA control charts for monitoring mean and variance based

on S 2 (or S), (i) the difficulties that stem from the coupling of single charts

which was suitably solved by Gan (1995), (ii) the subtle character of the S 2

related transition kernel which was treated in Knoth (2005). The objective of

this paper is to combine ideas of both papers for getting a feasible calculation

2 EWMA control charts.

method of the joint ARL of X-S

2. X-S

Let {Xij } be a sequence of subgroups (samples, batches) of independent

and normally distributed data. Each subgroup i consists of n observations

Xi1 , . . . , Xin . The subgroup size n can be equal to 1 if we utilize not the

usual sample variance S 2 but a variance estimator that employs the actual

mean (Reynolds and Stoumbos 2004, who preferred this version). In this

paper, which focuses more on calculation methods than on applicational

issues, this differentiation is not that important because of the equivalence

(in the in-control case, otherwise the non-central 2 -distribution prevents

that) of both approaches in terms of the ARL calculation, if the degrees

ourselves to the usual sample variance S 2 .

The parameters of the normal distribution are the mean and the variance 2 . Usually, we are interested in detecting changes in both directions of

and increases of 2 . Additionally, we consider here schemes which provide

signals in case of decreased variance so that we might be aware of missing

signals in the mean chart. For the topic of misleading signals we refer to

Morais and Pacheco (2006). To sum up, we consider joint schemes which

combine two-sided mean control charts with one-sided upper and two-sided

variance control charts, respectively.

To begin with, let us collect some suitable notation. The parameter

values, which describe the stable performance of the monitored process, are

0 and 02 . As long as the stable and the actual parameter values coincide we

call the process in-control: it is otherwise out-of-control (unfortunately,

we have to base our decision on data and not on exact knowledge of and ).

2 EWMA control charts are based on the two EWMA sequences

Then, X-S

n

X

i = 1

X

Xij

n

Si2

z0

Z0

Zi

j=1

Z0

Zi

= (1

)Zi1

1 X

i 2 ,

=

Xij X

n1

j=1

i

+ X

z0

= (1 )Zi1

+ Si2 .

The design parameters and are chosen from the interval (0, 1] to ensure

a certain signaling behavior, where small values increase the detection power

for small changes and vice versa. The starting values z0 and z0 are usually

set to 0 and 02 , respectively. Then, as long the process is in control, the

expectations of both EWMA sequences are equal to their target values.

An alarm is given at time point L if at least one of the single charts

signals,

L = min{L , L } ,

(

)

0

L = min i N :

0 | >

:= c

,

2 n

(

)

r

r

L = min i N : Zi 02 > c := c

2 .

2 n 1 0

|Zi

normalized with the asymptotic standard deviation of the chart statistics Zi

4

and Zi , respectively. The values c and c are called critical values. In the

sequel, however, we utilize the starred versions. For the two-sided variance

case we have to introduce a further limit because of the non-symmetric

behavior of Si2 and consequently Zi (see Section 4).

The previously mentioned ARL could be described as the expectation of

L. To be precise, for fixed values of the so-called head starts z0 and z0 , and

for given actual values of and , which are assumed to be valid for the

whole averaging process, denote

E(L) = E(L|, , z0 , z0 ) .

Of course, as in the univariate case the Markov chain as well the integral

equation approach could be established for the full 2-dimensional model.

Both end in large dimensions of the resulting linear equation system if a

reasonable precision is needed. See Knoth and Schmid (2002) for some results in that direction, where it had to be used for autocorrelated data. That

approach becomes even more complex if one tries to employ the collocation

ideas given in Knoth (2005).

3. ARL CALCULATION

Ideas like in Gan (1995) that are based on Waldmann (1986) should be

exploited in order to get a more feasible approach than the full 2-dimensional

one. First, the parameters 0 and 02 are set to 0 and 1, respectively, for

the sake of simplicity. Denote P () the probability measure of our series for

a fixed parameter set of , , z0 , z0 . Then for any j N regarding the

and S 2

independence of X

P (L > j) = P (L > j) P (L > j) .

Using the well-known relation

E(L) =

P (L > j)

j=0

(1986), Gan (1995), Knoth (1998), and Madsen and Conn (1973) the essential assumption for the asymptotic geometric tail is some quasi-positiveness

of the kernel of the joint scheme, which is mostly fulfilled for the considered

control charts) allows us to establish the following ARL bounds:

ARL

J =

J1

X

j=0

P (L > j) +

P (L > J)

.

1 m

J

5

The choice of the truncation point J relies on the distance between the

bounds ARL

J and could be rather small for small distances already. The

constants m

J are defined as in Waldmann (1986) and Gan (1995), that

is, they stand for sup and inf of P (L > j; z0 , z0 )/P (L > j 1; z0 , z0 )

over the permissible domains of starting values z0 and z0 . These values m

J

converge rapidly to a common limit which resembles the eigenvalue of largest

magnitude of the joint transition kernel. Waldmann (1986), and later Gan

(1995), utilized quadrature rules in order to calculate numerically the values

P (L > j) for j = 1, 2, . . . , J by means of the following iteration rule for the

single control charts:

P (L > 1)(z0 ) =

Zc

f (z0 , z) dz ,

P (L > j)(z0 ) =

Zc

z (1 ) z0

1

f (z0 , z) =

,

for the mean chart. () denotes the probability density function (pdf) of

a normally distributed variable with mean and variance 2 . For the S 2

chart we have to use (and, of course, different limits in the integral)

1 2 n 1 z (1 ) z0

n1

f (z0 , z) =

.

2

2

2 () denotes the pdf of a chi-squared distributed random variable with

n 1 degrees of freedom. Gan (1995) considered ln S 2 and obtained a

different version of the variance chart transition kernel. Thus, he was able

to approximate the integrals in both iteration sequences P (L > j) and

P (L > j) with Gauss-Legendre quadratures with small absciccae numbers

to ensure reasonable precision. Unfortunately, if we are interested in S 2

instead of ln S 2 , the same problem arises as for the single variance chart.

In Knoth and Schmid (2002) both iteration sequences were approximated

by terms, which come from the Markov chain approach. Instead of applying the truncation at a certain J the whole problem is transformed into a

6

library. Unfortunately, it inherits the precision losses from the S 2 part and,

consequently, large matrix dimensions are needed to get higher accuracy.

A small study should demonstrate the ability of different approaches to

2 EWMA control charts. Let

deal with the subtle ARL calculation for X-S

us consider:

1. Pure transfer of Gan (1995), who utilized Gauss-Legendre quadrature

(GL) for calculating the iteration sequences P (L > j) and P (L > j),

j = 1, 2, . . .

2. Apply the Simpson (S) rule instead of GL for the S 2 part.

3. Apply the midpoint rule instead of GL, which is equivalent to the

popular Markov chain approximation (M 1) Morais and Pacheco

S 2 EWMA charts (for both the mean and

(2000) utilized this for X-ln

the variance chart).

4. Collocation (C) similar to Knoth (2005), described in more detail in

the Appendix of this paper.

5. Like in Knoth and Schmid (2002), employ Markov chain approximation (M 2) for both charts and solve a Sylvester matrix equation.

Note that with one exception (Sylvester matrix equation) all approaches

part. The subgroup size

use always Gauss-Legendre quadratures for the X

n is equal to 5 like in Gan (1995). The smoothing parameters are taken as

= 0.134 from Gan (1995) and = 0.1 that is more a first shot than

a result of some optimization. However, it helps to build a control chart

which beats Gans best combination as will be demonstrated in Section

4. Then c = 0.345 477 and c = 0.477 977 are used, which yields an incontrol ARL of 252.3 of the combined scheme and equal ARLs of the single

charts. A Monte Carlo study with 109 replicates validates the above joint

ARL value by resulting in 252.307 with standard error 0.0078. In Figure 1

the approximated ARL versus matrix dimension N (each method relies on

matrices) are plotted. Note that the truncation point J that is needed for

approaches 1 to 4 is always chosen in the same way. The distance between

the bounds mentioned in the beginning of the section, ARL

J , should be

smaller than 108 . The matrix dimension N is only related to the quality

of the survival function approximation.

Figure 1. Precision of different ARL computation methods for the in 2 EWMA control chart monitoring the mean (2-sided)

control ARL of a X-S

and variance (upper) of normally distributed data, the true value is 252.3

and the smoothing values are = 0.134 and = 0.1; S Simpson rule,

M 1 Markov chain (midpoint rule), M 2 Markov chain (Sylvester matrix

equation), C Collocation.

The Gauss-Legendre quadrature based results are not drawn in Figure 1,

because they oscillate more than all the others (see Table 1 for some numerical results). At first sight of Figure 1, the collocation method exhibits the

best performance. For dimension N = 23, collocation already ensures the

first 6 digits after the decimal point. No other method in the study attains

this accuracy with N below 300. Even if we regard the higher complexity

of the collocation approach, which leads to the highest computing times for

fixed N among the candidates, collocation is the clear favorite. See Table 1

for the corresponding computing times. The second and third best ones are

the two Markov chain approaches, followed by Simpson and Gauss-Legendre

quadrature based ones.

Table 1. Resulting ARL approximations and CPU times (measured in

hundredth seconds on an Athlon XP 1.4 GHz) for selected matrix dimensions

N and all methods under consideration; the true value is 252.2999.

Method

Gauss-Leg.

Simpson

M. chain 1

M. chain 2

Collocation

13

25

60.8717

1

5.2588

1

232.4026

<1

211.3234

<1

253.3603

2

90.9297

1

-1

1

245.2234

<1

239.9381

1

252.2999

8

matrix dimension N

51

101

143.4348

2

297.8329

2

250.5108

2

249.3160

5

252.2999

35

253.1860

5

249.0502

5

252.2235

5

251.9535

32

252.2999

140

201

301

252.1741

30

252.5606

30

252.3001

31

252.2515

286

252.2999

583

252.6392

65

252.3129

65

252.2729

68

252.2598

1221

252.2999

1323

8

accuracy, then collocation is the first choice.

The numbers in Table 2 demonstrate how the collocation approach works

for smaller down to 0.001 and less subgroup sizes n. The parameter

remains unchanged because it is numerically less subtle. Table 2 gives the

matrix dimensions N (only the resolution of the S 2 related approximation,

just N , is increased; N is fixed at 51) and the resulting final thresholds,

that is, c and c . Fortunately, the matrix dimension N does not increase

Table 2. Resolution (matrix dimension) N needed to ensure 6 digits accuracy for the in-control ARL (252.3). Additionally, both (finalized) critical

values c and c (second and third entry) are given.

n

0.1

0.05

0.01

23

0.345477

0.477977

23

0.386268

0.563641

17

0.446048

0.713918

23

0.546349

1.081116

31

0.345381

0.284547

31

0.386166

0.332911

21

0.445939

0.416409

31

0.546243

0.614829

60

0.345962

0.075633

62

0.386822

0.087563

37

0.446709

0.107662

61

0.547224

0.153289

0.005

0.001

83

0.347443

0.038398

85

0.388478

0.044359

50

0.448622

0.054313

83

0.549569

0.076655

167

0.356187

0.006213

174

0.398254

0.007149

107

0.459910

0.008701

176

0.563392

0.012100

too fast. Note that small s such as 0.001 are not reasonable at all. Knoth

(2006) provides a small study for one-sided S 2 EWMA charts that illustrates

it. While the ARL for detecting a given scale change decreases, the in-control

probability of an early alarm (right at the first observation) increases heavily.

In Section 6 the collocation approach is described in more detail. In

the next Section we employ this ARL calculation method to compare Gans

(ln S 2 based) ARL results with the ARL values of the competing S 2 based

simultaneous EWMA chart.

S 2 AND X-S

2 EWMA CHARTS

4. COMPARE X-ln

Gan (1995) compared omnibus charts described in Domangue and Patch

(1991) with two joint EWMA charts and one CUSUM combination in terms

of their ARL. Both EWMA and CUSUM are built with ln S 2 . The EWMA

charts work considerably well. Here, we want to add for both EWMA

schemes the corresponding performance of the S 2 based charts. As mentioned in the previous Section, we take the same = 0.134 like Gan, but

set = 0.1, which is sufficiently powerful as we will see soon. The critical limits c and c are chosen to provide an in-control ARL 252.3 for the

chart looks similar:

combined scheme. Recall that Gans limit for the X

c,Gan = 0.345 vs. c = 0.345477. These limits ensure also equal in-control

ARLs for the single charts, namely 499.3. Note that our comparison is not

really fair, because Gans EWMA sequence exhibits a lower reflection bar

= max{0, (1 )Zi1,Gan

rier, i. e. Zi,Gan

the ARL for z0,Gan = 0 that corresponds to the worst case for detecting an

increase in 2 (the smoothing value is ,Gan = 0.043).

For the S 2 based chart, we calculate the ARL as usual for EWMA charts,

that is, for z0 = 02 = 1, which is not the lowest position of Zi . It is difficult

to compare these charts in an appropriate manner (we have to switch to the

steady-state ARL or we should introduce a reflection for the S 2 chart like

in the comparison in Knoth 2005). In Table 3, however, we give ARL values

of both (upper) EWMA charts.

S 2 (EEU ), and of

Table 3. Subset of ARLs from Gan (1995), that is, X-ln

2

0

0.20

0.40

1.00

/0

1.00 1.05 1.25 1.00 1.05 1.25 1.00 1.05 1.25 1.00 1.05 1.25

S 2 252.3 113.0 16.6 129.7 78.3 15.9 48.8 39.4 14.2 10.2 10.0 8.3

X-ln

2 252.3 101.2 13.9 129.3 72.6 13.4 48.6 38.1 12.3 10.1 9.9 7.7

X-S

in Gan (1995). We see from Table 3 that the S 2 based version works slightly

better. Remember that the comparison suffers from the same dilemma as

many EWMA-CUSUM comparisons.

We consider now a comparison for the double two-sided schemes. It

would remain an unfair comparison if CUSUM would be one competitor.

S 2 EWMA chart and our X-S

2 EWMA chart,

Gans double two-sided X-ln

10

however, act similarly. According to Gan, the critical limits of his twosided ln S 2 were chosen to minimize the ARL for detecting an increase to

= 1.250 (now ,Gan = 0.106). His resulting critical limits are c,Gan =

0.345, c,lower,Gan = 0.867 and c,upper,Gan = 0.215. Here, we want to

2 chart, and with so-called

compare this optimal chart with a similar X-S

ARL-unbiased versions of both. The analysis of the former is based again

on collocation methods and provide c = 0.345313, c,lower = 0.383153 and

c,upper = 0.53 (the upper variance limit was fixed, the lower one and the

mean limit are chosen to give the joint ARL 252.3 and equal ARL values of

the mean and the variance chart).

The term ARL-unbiased was defined in Pignatiello et al. (1995) and

broadly applied for variance control charts in Acosta-Meja and Pignatiello

(2000). Roughly speaking, the max of the ARL for fixed = 0 = 0 and for

varying should be attained at = 0 = 1. While it is trivial for symmetric

distributions (symmetric lower and upper control limits ensure that), it is

more demanding to choose the usually non-symmetric limits to provide the

max at the right position. Here, we try to solve the following task:

1. Joint ARL is again 252.3.

2. ARLs of the single charts are equal.

3. The slope (of the ARL function) in direction at = 0 = 1 is 0.

This is done numerically based on Gans methods and on collocation. The re S 2 EWMA scheme are c

sulting critical limits of Gans X-ln

,Gan = 0.345382,

2 EWMA chart are c = 0.345271, c

of the X-S

the previous designs. Thus, both schemes now detect decreases in faster,

while the increase detection ability became worse. In Figure 2 we see the

For the given domain of possible values, the S 2 based scheme is better

than the ln S 2 one. Only for values smaller than 0.7 or larger than 1.3,

and for = 1 and < 1 the ln S 2 based version provides a better ARL

performance. The latter demonstrates the advantage of the more symmetric

behavior of the ln S 2 version. The S 2 version, however, becomes faster and

faster, when the magnitude of the mean shift and the variance increase in

the same time.

11

5. CONCLUSIONS

The main result of the current paper is that we are able to get accurate ARL

2 EWMA control charts. To do this, one should use colloresults for X-S

cation for the S 2 part. Standard methods like the Markov chain approach

provide quick and nearly accurate results, but do not attain high accuracy.

Moreover, as already seen in Knoth (2005) and several papers mentioned

therein S 2 based schemes perform better than ln S 2 ones in terms of their

ARL. However, the current paper does not provide a complete study. A

further paper might fill this gap.

For truly two-sided variance EWMA charts one has to look for so-called

ARL-unbiased designs. With recent computer technology (PCs, not clusters

or bigger boxes, which are even faster), this is done with CPU times of some

seconds only.

To get rid of large delays in detecting mean changes in the presence of simultaneous variance decreases, it is enough to take a slightly non-symmetric

design (hence, the scheme becomes ARL-biased) as Gan (1995) already

did.

6. APPENDIX

Here, some more details of the collocation method as a plugin for calculating

the iterations of P (L > j) follow. Note that for the whole calculation

process we derive equations for an approximation of the run length survival

function and not for the true function itself, that is, all terms like P (L > j)

refer now to the numerical approximation.

chart the Gauss-Legendre quadrature is employed,

Recall that for the X

which is here the most powerful one. Thus, take N Gauss-Legendre roots

zs and weights ws on the integration interval [c , c ], so that

P (L > j)(zr ) =

N

X

s=1

provides us with a numerical recipe for the iteration sequence P (L > j).

Please do not confuse z0 (or z0 ) from Section 3, where the 0 stands for in

control, with zs . Here, s points to sth quadrature node.

In Section 3 the same was applied for P (L > j) besides the Simpson

and midpoint rules as competing quadrature methods.

Now, the collocation method should be presented. Collocation means

that the solution is built as linear combination of certain base functions

12

P (L > j)(z) =

N

X

gjs Ts (z)

s=1

via

N

X

gjs Ts (zr ) =

s=1

N

X

1+c

Z

gj1,s

s=1

Ts (z)f (zr , z) dz , r = 1, 2, . . . , N

0

on a suitably chosen grid z1 < z2 < . . . < zN and an easily derived starting

set {g1s } we obtain the wanted iteration sequence for approximating the

run length survival function. We calculate the new values {gjs } step by step

while solving the above equation systems.

If we take step functions as base, then we arrive again at the Markov

chain approach. Usual bases are monomials like 1, z, z 2 , . . . , z N 1 , Lagrange

or Chebyshev polynomials (some adaption for usage on [0, 1 + c ] is needed)

Ts (z) = cos s arccos(z) , s = 0, 1, . . . , N 1 , z [1, 1] ,

which ensure more stable numerical quadratures than monomials or Lagrange polynomials. It could be worthwile to compare monomials and

Chebyshev polynomials in terms of the resulting ARL computing time. For

monomials it could be easier to establish faster iterations.

and for S 2 we are able to approximate the survival function

Now, for X

/

P (L/ > j) for arbitrary z and not only at the nodes zr . Recall that the

grids used for the single charts differ from each other. Thus, zs stands for

the respective grid. In terms of vector arithmetics the methods look like:

P~j = MP~j1 ,

0

) ,

P~j = P (L > j)(z1 ), . . . , P (L > j)(zN

M = Mrs , Mrs = ws f (zr , zs ) ,

for the simple mean part and

N ~gj = O~gj1 ,

~gj = gj1 , . . . , gjN ,

N = Nrs , Nrs = Ts (zr ) ,

1+c

Z

O = Ors , Ors =

Ts (z )f (zr , z ) dz

13

for the more subtle S 2 chart. Here, we recognize the source of the higher

computing times for fixed N compared to the competing methods. Fortunately, the matrices N and O do not depend on j so that the solution of

the linear equation system for each j could be accelerated. The entries of O

are calculated numerically, where only small numbers of quadrature points

are needed (do not confuse these quadratures with the upper ones) for high

accuracy. Note that for this paper Chebyshev polynomials are used (just in

case when for very small large values of N could be necessary). For the

monomials base perhaps, faster solution is possible.

For the two-sided variance chart the collocation approach becomes even

more difficult to describe. Instead of bases which contain smooth, nonconstant functions over the whole interval [1 + c,lower , 1 + c,upper ], we use

now piecewise defined functions, which vanish outside a small supporting

interval. For details about this we refer to Knoth (2005). The reason behind

this detour is that the piecewise approach is considerably more precise than

the full approach and does not need more computing time for the same N .

Eventually, the numerical approach for the ARL-unbiased design will be

sketched. As mentioned in Section 4, three conditions have to be fulfilled

and three critical values are unknown. The iteration starts with the upper scheme that yields the target joint in-control ARL and equal ARLs of

the single charts. Then, a slightly increased upper variance limit is fixed.

The remaining limits are calculated to ensure the previous mentioned ARL

design. Finally, by means of the secant rule this upper variance limit is

changed as long as (L0 ,0 L0 ,0 + )/(2) (this secant should mimic the

slope at (0 , 0 ) in -direction) is larger than 106 . Thereby, is set to 104 .

After updating the upper variance limit, the lower one and the mean limit

are again derived to provide the target joint ARL and equal ARL values

of the separate charts. Figure 2 demonstrates that the iteration provides

reasonable results.

References

Acosta-Meja, C. A. and Pignatiello, J. J., Jr. (2000). Monitoring Process

Dispersion Dithout Subgrouping, Journal of Quality Technology 32: 89

102.

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14

Moving Average Statistical Process Monitoring Schemes, Technometrics 33: 299313.

Gan, F. F. (1995). Joint Monitoring of Process Mean and Variance Using

Exponentially Weighted Moving Average Control Charts, Technometrics 37: 446453.

Knoth, S. (1998). Exact Average Run Lengths of CUSUM Schemes for

Erlang Distributions, Sequential Analysis 17: 173184.

Knoth, S. (2005). Accurate ARL Computation for EWMA-S 2 Control

Charts, Statistics and Computing 15: 341352.

Knoth, S. (2006). The Art of Evaluating Monitoring Schemes How to

Measure the Performance of Control Charts?, in Frontiers in Statistical Quality Control 8, H.-J. Lenz and P.-T. Wilrich, eds., pp. 74-99,

Heidelberg: Springer.

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of a Stationary Process, Statistica Neerlandica 56: 77100.

Madsen, R. W. and Conn, P. S. (1973). Ergodic Behavior for Nonnegative

Kernels, Annals of Probability 1: 9951013.

Morais, M. C. and Pacheco, A. (2000). On the Performance of Combined

EWMA Schemes for and : A Markovian Approach, Communications

in Statistics - Simulation & Computation 29: 153174.

Morais, M. C. and Pacheco, A. (2006). Misleading Signals in Joint Schemes

for and , in Frontiers in Statistical Quality Control 8, H.-J. Lenz

and P.-T. Wilrich, eds., pp. 100-123, Heidelberg: Springer.

Pignatiello, J. J., Jr., Acosta-Meja, C. A., and Rao, B. V. (1995). The

Performance of Control Charts for Monitoring Process Dispersion, 4th

Industrial Engineering Research Conference, pp. 320328.

Reynolds, M. R., Jr. and Stoumbos, Z. G. (2001a). Individuals Control

Schemes for Monitoring the Mean and Variance of Processes Subject

to Drifts, Stochastic Analysis and Applications 19: 863892.

Reynolds, M. R., Jr. and Stoumbos, Z. G. (2001b). Monitoring the Process Mean and Variance Using Individual Observations and Variable

Sampling Intervals, Journal of Quality Technology 33: 181205.

15

Reynolds, M. R., Jr. and Stoumbos, Z. G. (2004). Control Charts and the

Efficient Allocation of Sampling Resources, Technometrics 46: 200214.

Waldmann, K.-H. (1986). Bounds for the Distribution of the Run Length of

Geometric Moving Average Charts, Journal of Royal Statistical Society,

Series C 35: 151158.

16

2 -EWMA), mean is fixed at = 0 + /n , {0, 0.2, 0.4, 1},

and X-S

in-control ARL 252.3.

17

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