Optimal exponentially weighted moving average charts with estimated parameters based on median run length and expected median run length

Abstract

This paper examines the exponentially weighted moving average (EWMA) chart with estimated process parameters. As the run length distribution is skewed when the process is in-control or slightly out-of-control, the average run length (ARL) provides less meaningful interpretation of a chart’s performance. Therefore, in this paper, the median run length (MRL) and expected MRL (EMRL) are used as alternative performance criteria. Additionally, the methodology for computing the EMRL of the EWMA chart with known process parameters is presented. Since the performance of the EWMA chart is affected by estimation error, a study on the minimum number of Phase-I samples required so that the chart with estimated parameters has a desired performance is conducted. As this study reveals that a large number of Phase-I samples are needed, optimal design procedures for minimising the out-of-control MRL and EMRL of the EWMA chart with estimated process parameters are suggested. By using these proposed procedures, the EWMA chart with estimated parameters will have a closer performance to its known parameters counterpart, even with a reasonable number of Phase-I samples. The construction of the MRL based EWMA chart with estimated parameters is illustrated using real data and compared with the corresponding chart based on ARL.

Keywords:

• exponentially weighted moving average
• estimated process parameters
• median run length
• expected median run length
• deterministic and unknown shift sizes
• optimisation designs

Additional information

Funding

This work was supported by the Universiti Sains Malaysia, Research University (RUI) Grant [grant number 1001/PMATHS/811263].