Abstract #302301

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JSM 2003 Abstract #302301
Activity Number: 98
Type: Contributed
Date/Time: Monday, August 4, 2003 : 9:00 AM to 10:50 AM
Sponsor: Section on Quality & Productivity
Abstract - #302301
Title: Analyzing the Effect of the Covariance Matrix on the Average Run Length of the MEWMA Control Chart
Author(s): John D. Young III*+ and Jay R. Schaffer
Companies: University of Northern Colorado and University of Northern Colorado
Address: Department of Applied Statistics, Greeley, CO, 80639-0001,
Keywords: ARL ; MEWMA ; covariance
Abstract:

Lowry, et al. (1992) developed the multivariate exponentially weighted moving average (MEWMA) as a technique to monitor a multivariate process. In addition, control limits and average run lengths (ARL) were reported for various shifts measured in terms of Mahalanobis distance. However, Lowry, et al. (1992) used a predetermined covariance matrix and studied the effects of a shift in the mean vector only. The purpose of this study is to examine the effect of a new mean vector AND covariance matrix on Mahalanobis distance and the corresponding ARL of the MEWMA control chart. In certain instances, the new covariance matrix "masks" the shift of the mean vector. ARL under these conditions is significantly larger than the ARL reported by Lowry.

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