Supplemental Material for Chapter 10

S10-1. Multivariate Cusum Control Charts

In Chapter 10 the multivariate EWMA (or MEWMA) control chart is presented as a
relatively straightforward extension of the univariate EWMA. It was noted that several
authors have developed multivariate extensions of the Cusum. Crosier (1988) proposed
two multivariate Cusum procedures. The one with the best ARL performance is based on
the statistic

Ci (Si 1 Xi ) 1 (Si 1 Xi )

1/ 2

where
0, if Ci k
(Si 1 Xi )(1 k / Ci ), if Ci k

Si

with S0 = 0, and k > 0. An out of control signal is generated when

Yi (Si 1Si )1/ 2 H
where k and H the reference value and decision interval for the procedure, respectively.
Two different forms of the multivariate cusum were proposed by Pignatiello and Runger
(1990). Their best-performing control chart is based on the following vectors of
cumulative sums:
Di

j i li 1

Xj

and
MCi max{0, (Di 1Di )1/ 2 kli }
where k 0, li li 1 1 if MCi 1 0 and li 1 otherwise . An out of control signal is
generated if MCi > H.
Both of these multivariate Cusums have better ARL performance that the Hotelling T2 or
the chi-square control chart. However, the MEWMA has very similar ARL performance
to both of these multivariate Cusums and it much easier to implement in practice, so it
should be preferred.