An exponentially weighted moving average chart controlling false discovery rate

Abstract

A new control chart is developed by using the exponentially weighted moving average (EWMA) statistics and a multiple testing procedure for controlling false discovery rate. The multiple testing procedure considers not only the current EWMA statistic, but also a given number of previous statistics at the same time. Numerical simulations are accomplished to evaluate the performance of the proposed control chart in terms of the average run length and the conditional expected delay. The results are compared with those of the existing control charts including the X-bar chart, EWMA, and cumulative sum control charts. Case studies with real data-sets are also presented.

Keywords:

• average run length
• conditional expected delay
• CUSUM
• EWMA
• false discovery rate

Acknowledgements

We would like to thank the anonymous reviewers for their helpful comments. This work was supported by Basic Science Research Program through the NRF funded by the MEST (Project No. 2011-0012879).