MULTIVARIATE CUMULATIVE SUM CONTROL CHARTS BASED ON PROJECTION PURSUIT

A natural multivariate extension of the two-sided cumulative sum chart is proposed via projection pursuit. A modification is given for improving its perfor- mance for the special situation in which the process mean is already shifted at the time the charting begins. Simulation studies show that the new charts have slightly better performance than the competing charts (MC1, MEWMA1 and MEWMA2) in terms of the average delayed run length and standard deviation of the delayed run length, while performing a little worse in terms of the average run length. A distinctive advantage of the proposed charts is that they are more effective than the MC1, MEWMA1, MEWMA2, the combined χ 2 -MEWMA1 and the combined χ 2 -MEWMA2 charts against the inertia in reacting to mean shifts.

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