AStA Adv Stat Anal (2014) 98:371387

DOI 10.1007/s10182-013-0221-1
ORIGINAL PAPER

EWMA charts: ARL considerations in case of changes

in location and scale
Sebastian Steinmetz

Received: 20 December 2012 / Accepted: 18 October 2013 / Published online: 7 November 2013
Springer-Verlag Berlin Heidelberg 2013

Abstract Widely spread tools within the area of Statistical Process Control are control
charts of various designs. Control chart applications are used to keep process parameters (e.g., mean , standard deviation or percent defective p) under surveillance so
that a certain level of process quality can be assured. Well-established schemes such
as exponentially weighted moving average charts (EWMA), cumulative sum charts
or the classical Shewhart charts are frequently treated in theory and practice. Since
Shewhart introduced a p chart (for attribute data), the question of controlling the
percent defective was rarely a subject of an analysis, while several extensions were
made using more advanced schemes (e.g., EWMA) to monitor effects on parameter
deteriorations. Here, performance comparisons between a newly designed EWMA p
control chart for application to continuous types of data, p = f (, ), and popular
EWMA designs ( X , X -S 2 ) are presented. Thus, isolines of the average run length are
introduced for each scheme taking both changes in mean and standard deviation into
account. Adequate extensions of the classical EWMA designs are used to make these
specific comparisons feasible. The results presented are computed by using numerical
methods.
Keywords

ARL isolines EWMA p chart Percent defective SPC

1 Introduction
Methods of Statistical Process Control (SPC) are used to monitor processes and to
detect relevant changes. It serves as baseline of quality improvement in various areas

S. Steinmetz (B)
Department of Mathematics and Statistics, Helmut Schmidt University,
University of the Federal Armed Forces, POB 700822, 22008 Hamburg, Germany
e-mail: steinmetz@hsu-hh.de

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of application. Within this field, control charts are widely spread to keep essential
process parameters of (random) variables under surveillance. The concept is based on
periodic samples of process parameters which arecalculated as certain statistics
utilized in a control chart over time. Popular parameters are the mean and the
standard deviation which are frequently monitored by their estimators X and S,
respectively. The control charts are set to signal an alarm if specific thresholds of the
statistics are exceeded.
When Walter A. Shewhart started the control chart discussion in 1924, he used
another process parameter, the percent defective p. Shewhart is often classified as
the pioneer of control charting because he was responsible for the famous Shewhart
X chart and enhancements. During the 1950s, further developments in this field of
application came up, such as the cumulative sum control charts (CUSUM) (Page
1954), Shewhart charts with runs rules (Page 1955; WECO 1956; Roberts 1958) and
the exponentially weighted moving average control chart (EWMA) (Roberts 1959).
In contrast to the Shewhart scheme, their alarm rule takes more than the most recent
sample into account, and therefore, it can detect smaller changes in process parameters
more quickly.
Since Shewhart introduced a p chart, the question of controlling the percent defective was rarely a subject of an analysis. In fact, control charts monitoring mean or
standard deviation prevailed. Due to numerical difficulties and the condition that p
charts usually dealt with attributive instead of continuous types of data, which is
important for usage considerations, this trend was underlined.
Krumbholz and Zller (1995) advanced existing concepts by transferring the classical designs of observing continuous types of data for mean and standard deviation to
the percent defective p. The so-called p Chart of Shewhart Type for Measurements
(Shewhart p chart) uses continuous data and observes p which is resembled by a functional relationship of and . Therefore, it is able to check and simultaneously by
only one statistic which can be intuitively interpreted. The chart has only one design
parameter (control limit) and signals an alarm if the value of p exceeds this certain
threshold.
While Krumbholz and Zller only established their method to a Shewhart type of
chart, Knoth and Steinmetz (2013) transferred the idea of monitoring p = f (, )
to an EWMA control chart. In their paper, they present performance considerations
and comparisons to competing charts as well as the numerical methods that were used
for computation. One general condition made is that only changes in are analyzed.
Here, is always assumed to be known and constant, possible changes in have not
been taken into account for setting up the control chart.
The ambition of this paper is to compare EWMA control charts in case of changing
and . The idea of Knoth and Steinmetz (2013) will be advanced and extensions of the
classical EWMA designs will be used to make comparisons above the ordinary scenario
feasible. Starting with a short introduction to EWMA p charts, the analysis will focus
on performance comparisons between the EWMA p chart and two classical EWMA
schemes. Suitable ARL isolines instead of ordinary tables of values or nonsatisfying
pseudo 3D figures will be presented to analyze the effect on the ARL in case of
changing and . Therefore, the numerical methods presented in Knoth and Steinmetz
(2013) will be used for enhanced application.

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2 General framework
2.1 ARL considerations
For practical applications, the performance of control charts is a major concern. Thus,
different performance measurements have emerged, such as the average run length
(ARL). Within ARL considerations, the in-control and the out-of-control case can be
distinguished. L is the random number of observations or samples until the control
chart stops and therefore signals an alarm. ARL0 is defined as the average number
of observations or samples until the control chart signals the first false alarm if the
process is actually still under control. In contrast to this, ARL1 is defined as the average
number of observations or samples until the first correct alarm occurs. For a process
with given ideal process parameters 0 and 0 , the ARL can be written down as

ARL0 = E (L), in-control case = 0 , = 0
ARL =
ARL1 = E 1 (L), out-of-control case = 0 = 0
where E m (L) is the expected value of the run length for a particular change point m.
The change point is unknown but fixed and not random. It tags the point in time when at
least one of the relevant parameter values exceeds a critical level. Because both and
can have an effect on the ARL, one can express the ARL as a function of and , L , .
The results of this paper are based on the ARL computation using the Markov chain
approach, Lucas and Saccucci (1990), and the collocation method, Knoth (2005)see
Knoth and Steinmetz (2013) for more details of the exact implementation regarding
EWMA p charts.
2.2 ARL isoline graphs
The idea of isoline graphs is utilized in many fields of theory and application. Inspired
by Bruhn-Suhr and Krumbholz (1990) who use isolines for the percent defective p
and the operating characteristic (OC), ARL isoline graphs are introduced now within
this paper as a visual tool for analyzing the effect on the ARL in case of changes in
two parameters. Such ARL isolines are used for performance comparisons between
different control chart schemes in Sect. 4. To recognize the differences in the performance of the presented charts more easily, some guidelines of how to interpret these
graphs are given.
Figure 1a shows ARL isolines of a single chart for ARL levels 5, 10, 20, 50,
100, 370.4. Each line represents the parameter combinations of and that lead to a
certain ARL level. The level of the ARL illustrates how quick the chart is able to detect
changes of the process parameters and therefore to signal an alarm. The control chart
is calibrated for an ARL of 370.4 with in-control parameters 0 = 0, 0 = 1. Starting
at the in-control situation which is marked by a point in Fig. 1a, the ARL decreases
northwards and westwards. This is illustrated by the arrows at parameter combination
0 = 0 and 1 1.2 where the isoline of ARL level 100 is reached (northwards) or
parameter combination 1 0.24 and 0 = 1 where the isoline of ARL level 50

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3.0

374
Chart A

2.5

2.5

Chart A
Chart B

10
2.0

2.0

10

20
1.5

1.5

20

50

50

100
1.0

370

0.5

0.5

1.0

370

1.0

0.5

0.0

0.5

1.0

1.0

(a)

0.5

0.0

0.5

1.0

(b)

Fig. 1 Examples for ARL isoline graphs of control charts

is reached (westwards). In both directions, the ARL becomes smaller as the change
in the process parameters becomes bigger. Going southwestwards, the interpretation
is different. Following the arrow from 0 , 0 to 1 0.34, 1 0.66, the isoline
of ARL level 50 is reached. Above this isoline, changes can be detected faster which
corresponds to a smaller ARL level. On the other side, changes can be detected slower
below this isoline.
Figure 1b shows the ARL profiles of two different charts for ARL levels 10, 20, 50,
370.4. To make the explanation of the graphs easier, only four levels were chosen, here.
In Sect. 4, the ARL isoline graphs will be presented for levels 5, 10, 20, 50, 100, 370.4.
As shown above, the isolines of each chart are specified northwards from ARL level
370.4 at the bottom, increasing to ARL level 5 at the top of the figure. The explicit
captions of the ARL levels are written only once to keep things clear and orderly. Again,
the two charts are calibrated for the in-control parameters as before (marked by a point
in Fig. 1b). To compare the performance of the charts in the out-of-control situation,
one has to fix at a certain parameter combination, e.g. 1 0.58 and 1 1.07
(marked by a triangle). One can easily see that the solid line (Chart A) matches this
point at ARL level 20 while the dashed line (Chart B) does the same at ARL level 10.
Thus, Chart B detects this change in and by signalling an alarm much quicker
than Chart A. Starting at the in-control situation and taking sole (positive) changes
in into account, the solid isolines of Chart A are always located below the dashed
isolines of Chart B (northwards). As the change in becomes bigger, Chart A clearly
predominates Chart B. This can be interpreted as Chart A detects singular changes
in faster than Chart B. On the other hand, if only changes in are considered and
the standard deviation is fixed at 0 = 1, the dashed isolines are generally closer to
the in-control situation than the solid isolines (except the ARL level of 370.4). This
can be interpreted as Chart B basically detects singular changes in faster than Chart
A. For simultaneous changes in both parameters Chart B generally has performance
advantages.

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EWMA charts: ARL considerations in case of changes in location and scale

375

The explicit ARL of certain parameter combinations can be better compared using
ordinary ARL tables. However, ARL isoline graphs are very helpful to get a dynamic
and clear impression of the characteristics of the ARL curves and which parameter combinations lead to a certain ARL level. Therefore, the isoline graphs facilitate an analysis of how changes in both parameters and have an effect on the
ARL.
2.3 EWMA p chart: varying , constant
Based on the idea of Krumbholz and Zller (1995) and merged with the general idea
of EWMA control charts (Roberts 1959; Hunter 1986; Crowder 1987; Lucas and
Saccucci 1990), an EWMA p chart under sampling by variables was introduced by
Knoth and Steinmetz (2013). The chart keeps the advantages of monitoring continuous
data and observing p as a function of and . Thus, the EWMA p chart is also
able to check and simultaneously by only one statistic which can be intuitively
interpreted.
to be known
Let X N (, 2 ) be an iid characteristic with the variance assumed 
and constant. Samples of size n are taken at time i = 1, 2, . . . and X i = n1 nj=1 X i j is
the sample mean at time i.  and 1 express the cumulative distribution function (cdf)
of the N (0, 1) distribution and its inverse. Lower (LSL) and upper (USL) specification
limits in terms of X are determined, LSL < USL. Krumbholz and Zller finally define
the percent defective p as


LSL
p = h(, ) = 


USL
+
.

For = (LSL + USL)/2 being the center of the specification limits interval, the
minimum percent defective p follows p = h( , ) = 2 ((LSL USL)/2 ).
The actual EWMA sequence uses the Maximum Likelihood estimator of p which is
given by




X i USL
LSL X i

+
.
p i = h( X i , 0 ) = 
0
0
Here, 0 represents the ideal in-control parameter value of that was estimated from a
long stable pre-run and that therefore is assumed to be known. In Knoth and Steinmetz
(2013), the whole analysis is based on = 0 = 1.
p
p
The EWMA sequence is defined by Z i = p i + (1 )Z i1 where specifies
p
the usual EWMA weight parameter. It is activated with a starting value of Z 0 = p0 =
h(0 , 0 ) which represents the in-control case. As Krumbholz and Zller already point
out, it is probably more suitable and natural to directly set a certain upper control limit
c E, p in terms of p that is defined as unacceptable. This easy interpretation can make
further c E, p specification redundant, in contrast to the classical EWMA chart where
this is more essential. For performance considerations the choice of c E, p and parameter
values of the EWMA p chart are important and should be calibrated rationally. Because

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only increasing p is assumed to have negative impact on the process quality, the EWMA
p
p chart signals an alarm if Z i > c E, p . Thus, the run length L E, p is given by
p

L E, p = inf{i N : Z i > c E, p }.
3 EWMA p chart: varying and
3.1 Assumptions and design

Continuing the explanations above, one can introduce the advanced EWMA p chart.
The model will be modified to provide for more realistic scenarios in terms of the
influence of changes in . The analysis will now focus on the impact of varying .
Here, is assumed to be known for evaluation only. In fact, the standard deviation is
unknown and not estimated within the model. The control limit is constantly calibrated
for 0 = 1 and the ARL is considered for situations of changed true parameter value
. The question is what impact a change in would have on the performance of
the control chart. This knowledge might play an important role when it comes to
calibration and the selection of parameters such as or c E, p . Therefore, the percent
defective is defined as p = h(, )see Fig. 2 for p isolines and the functional
relationship between and and the statistic of the EWMA p chart is still the
Maximum Likelihood estimator of p (under the condition that = 0 ) which is now
denoted as p i = h( X i , 0 ). Furthermore, the design of the EWMA p chart with regard
to the EWMA sequence and alarm rule does not change if changes in are taken into
account.

0.5

0.4

0.3

0.2

0.1

0.05

0.0027

Fig. 2 Percent defective p = h(, )

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3.2 Specific functions required

Much more relevant are the effects on the specific functions that are necessary for the
numerical ARL computation and an analysis of the control chart behavior.
With being the probability density function (pdf) of the N (0, 1) distribution, the
first partial derivative of h(, ) by that is used in the approximation algorithm can
be stated as





1
LSL
USL
h(, )
=

+
.
h (, ) =

The cdf of p is generally defined by



F p ( p) = P p p


= P h( X , 0 ) p .
Krumbholz and Zller (1995) state that function p = h(, ) has exactly one absolute
minimum at h( , 0 ) = p this is the case of the minimum percent defective when
matches the center of the specification limits interval. Thus, there is for any p,
p p < 1, exactly one p,0 and exactly one p,0 that conform to
2
h( p,0 , ) = h(p,0 , ) = p. With X N (, n ) the deduction of F p ( p) can be
continued by


F p ( p) = P p,0 X p,0




p,0
p,0
n 
n .
=

Formally the final cdf F p ( p) and pdf f p ( p) follow

0,

 



p,

0
F p ( p) = P( p p) =  p,0
n 
n
,

1,

f p ( p) =

d F p ( p)
dp

0,

p p
p < p < 1 ,
p1

 


p,
p,0
n
0
h ( 1 , )
n
+
n

p,0 0

p
/ ( p , 1)
p ( p , 1)

Figure 3 shows cdf and pdf of p in case of different and parameters = 0, n =

5, LSL = 3, USL = 3. The ARL of the EWMA p chart can be accurately computed by collocationsee Knoth and Steinmetz (2013) for details. Starting at Z 0 = z
and using the pdf f p ( p), the ARL approximation is given by the following integral
equation:

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40
20

0.4

fp^(p)

30

0.6

0.8

=1
= 0.5
= 1.5

0.0

10

0.2

^ p)
P(p

=1
= 0.5
= 1.5

50

1.0

378

0.00

0.01

0.02

0.03

0.04

0.05

0.06

0.00

0.01

0.02

0.03

0.04

0.05

0.06

(a)

(b)

Fig. 3 Cdf and pdf for various , = 0, n = 5, LSL = 3, USL = 3

c E, p


L(z) = 1 +
p +(1)z

1
L(x) f p

x (1 )z

dx, z [ p , c E, p ].

4 Comparisons
Typically, control chart behavior is not only analyzed within the examined chart itself
but it is usually compared to other opposing types of charts as well. Having laid the
theoretical fundamentals, one can go on with the real comparisons between rivaling
types of control charts. Thus, this section will start with a comparison of the EWMA
p chart and the classical EWMA X chart before it will compete with the doubletracked EWMA X -S 2 scheme. Each performance comparison is done by presenting
ARL isolines. Because of the two-dimensional impact of both changes in and on
the ARL profile, the usual type of plot does not take both parameters into account and
can not be used reasonably, here. Concerning the EWMA p chart, each analysis is
based on chosen parameter values ARL0 = 370.4, 0 = 0, 0 = 1, LSL = USL =
3, n = 5, Z 0 = p , the value of c E, p is computed for ARL0 = 370.4see Knoth
and Steinmetz (2013) for details. The numerical computation of each ARL isoline for
the chosen schemes is done with the functions provided by the R library spc, version
0.4.1 and corresponding parameter values.
4.1 EWMA p chart vs. EWMA X chart
The comparison starts with the EWMA p chart and the ordinary EWMA X chart. The
latter was introduced by Roberts (1959) and represents an extension of the classical
Shewhart X chart for monitoring the process mean. It has been examined in several
papers such as Hunter (1986), Crowder (1987) or Lucas and Saccucci (1990) amongst

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379

others. Given samples j = 1, . . . , n of the N (, 2 ) distribution at time i = 1, 2, . . .,


2
the sample mean is computed as X i = n1 nj=1 X i j with variance Var( X i ) = n =
X2 . With weight parameter (0 < 1) the EWMA at time i is given by Z i =

. The
X i + (1 )Z i1 . For i the variance of Z i follows Z2 = X2 2
run length of the EWMA control chart is then defined by its stopping time


L E,X = inf i N : |Z i 0 | > c E,X Z
where c E,X is a constant design parameter and Z 0 = 0 is the center line of the control
chart and the initial value of the EWMA sequence. For the performance comparison
a two-sided EWMA X control chart for various values of is utilized. Critical values
c E,X are each calibrated for 0 = 0 and 0 = 1 leading to ARL0 = 370.4. Figure 4ad
show the ARL isolines in case of different values of . Figure 4d illustrates the special
case of the EWMA p chart and the EWMA X chart with = 1 (Shewhart p chart
and Shewhart X chart). Here, both charts have equal performance propertiessee
Krumbholz and Zller (1995).
Each figure presents the ARL isolines of both control charts for levels 5, 10, 20, 50,
100, 370.4. Because the EWMA X chart is basically set up to monitor X , its advantages
in detecting changes in are not surprising. In case of increasing 1 and , respectively,
the advantages fall off. With regard to different values of the picture changes and a
certain relevance of the EWMA p chart can be underlined. Here, the EWMA p chart
excels within all ranges of different values of (one should fix on a certain level of
and then compare the position of the ARL isoline). This result depends significantly
on the value of and its corresponding ability of detecting different magnitudes of
changes quickly. The smaller the value of and 1 the more apparent is the better
performance of the EWMA p chart. To be fair, it has to be mentioned at this point
that practitioners do not use an EWMA X chart only but usually apply another control
chart for monitoring the variance of the process as well. Nevertheless, the results show
that the application of a single EWMA p chart can be an alternative to the ordinary
EWMA X scheme.
To confirm this intermediate conclusion the performance comparison will continue
with a special process situation. The so-called off-center case of a process which does
not run on the center of the specification limits interval will be treated nowsee
Knoth and Steinmetz (2013) who already introduced this aspect and comparison for
the EWMA p chart and the EWMA X chart in case of changing , only. Here, the
control charts are calibrated for 0 = + 0.25 and = 0.1. While Fig. 5a illustrates
ARL isolines for the on-center case, Fig. 5b shows the off-center case. Again, the
ARL isolines are presented for levels 5, 10, 20, 50, 100, 370.4. With regard to changes
in the off-center case lays open, that the EWMA p control chart makes up for
performance. The gap closes between the two charts when increasing changes in
are considered. Concerning changes in this effect is even reinforced. For changing
(bear in mind that the control charts are calibrated for 0 = 1) the EWMA p chart
quickly detects changes while the EWMA X chart has to grapple with the change.
All in all one has to balance the advantages of this single chart compared to slight

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380
EWMA p
EWMA X

2.0

2.0

2.5

2.5

10

10

1.5

1.5

20

20

1.0

50
100
370

0.5

0.5

1.0

50
100
370

1.0

0.5

0.0

0.5

1.0

1.0

0.5

0.0

0.5

1.0

0.5

1.0

(b)

2.5

2.5

3.0

3.0

(a)

2.0

2.0

10

20

50
100

370

370

1.0

50
100

0.5

0.5

1.0

20

1.5

1.5

10

1.0

0.5

0.0

0.5

1.0

1.0

0.5

(c)

0.0

(d)

Fig. 4 ARL isolines: EWMA p chart vs. EWMA X chart

performance advantages and higher application efforts of an EWMA X chart and its
potential partner scheme for monitoring the process variance.
4.2 EWMA p chart vs. EWMA X -S 2 charts
As the EWMA p chart points at monitoring the influences of both and it seems
to be natural to compare it to other control charts monitoring mean and variance
simultaneously. The idea of observing mean and variance at the same time has led to
various approachessee Domangue and Patch (1991) for the so-called omnibus charts
or Gan (1995) for combined EWMA X -ln S 2 control charts. In addition, Reynolds
and Stoumbos (2001a, b, 2004) presented some ARL studies based on Monte Carlo
simulations. The comparison within this paper uses EWMA X -S 2 chartssee Knoth

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3.0

EWMA charts: ARL considerations in case of changes in location and scale

EWMA p
EWMA X

2.5

2.5

10

2.0

2.0

20
50
100
370

50
100

1.0

370

0.5

0.5

1.0

20
1.5

1.5

10

1.0

0.5

0.0

0.5

1.0

1.0

0.5

0.0

(a)

0.5

1.0

(b)

Fig. 5 Comparison of the EWMA p chart and the EWMA X chart for on- and off-center in-control process

(2007), Knoth and Schmid (2002) and references therein for ARL calculation methods
of adequate accuracy. Here, a two-sided mean chart (as presented above) and a onesided (two-sided) variance chart are considered. The scheme is based on the two
simultaneous EWMA sequences. Define X i , X2 as in Sect. 4.1. The sample variance
1 n
2 4
2
2
2
is given by Si2 = n1
j=1 (X i j X i ) with variance V ar (Si ) = n1 = S 2 .
With weight parameters X (0 < X 1), S (0 < S 1) and common starting
values Z 0X = 0 , Z 0S = 0 the EWMA sequences at time i are given by Z iX =
X and Z S = S 2 + (1 )Z S . For i the variance of
X X i + (1 X )Z i1
S i
S
i
i1


S
X
X
2
2
Z i follows Z X = X 2 X while the variance of Z iS follows 2 S = S22 2
.
S
Z

The run length of the EWMA X -S scheme with one-sided variance chart is then
defined by the minimum stopping time of one of the two EWMA sequences


L E,X S = min L E,X , L E,S ,


L E,X = inf i N : |Z iX 0 | > c E,X Z
X ,


L E,S = inf i N : Z iS 02 > c E,S(u) Z
S
where c E,X and c E,S(u) are constant design parameters of the EWMA X chart and
the one-sided (upper) EWMA S 2 chart. For performance utilization the EWMA p
chart and the EWMA X -S 2 charts are calibrated to 0 = 0 and 0 = 1. Again, the incontrol ARL0 equals 370.4 and the values of are chosen from {0.05, 0.1, 0.2, 1} with
X = S = for the combined EWMA X -S 2 scheme. Figure 6ad shows the ARL
isolines for different values of . The isolines of both charts are presented for ARL
levels 5, 10, 20, 50, 100, 370.4. The pictures underline the results from the previous
section. The EWMA X chart of the EWMA X -S 2 scheme prevails within all ranges
of changes in . While the EWMA p chart previously outperformed the EWMA X
chart in case of changing , the application of a separate EWMA S 2 chart pays off.

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382
EWMA p
EWMA X S2

2.5

2.0

2.0

2.5

10

10

1.5

1.5

20

20

1.0

50
100
370

0.5

0.5

1.0

50
100
370

1.0

0.5

0.0

0.5

1.0

1.0

0.5

0.0

0.5

1.0

0.5

1.0

2.5

2.5

3.0

(b)

3.0

(a)

2.0

2.0

10

20

50
100

370

370

0.5

1.0

50
100

0.5

1.0

20

1.5

1.5

10

1.0

0.5

0.0

0.5

1.0

1.0

0.5

0.0

(c)

(d)

Fig. 6 ARL isolines: EWMA p chart vs. EWMA X -S 2 scheme (one-sided EWMA S 2 chart)

From the pictures it can be followed that the advantages of the EWMA X -S 2 scheme
gradually decrease for an increasing value of . Even though the performance of the
EWMA p chart improves for this parameter combination, the simultaneously applied
scheme ultimately prevails regardless of the chosen value of . An interesting and
remarkable aspect of the illustration by ARL isolines is the curve shape of the EWMA
X -S 2 scheme. The effect that is indicated by the results of the ordinary EWMA X
chart (see above) is reinforced, here. For relatively small values of , Fig. 6a, b shows
that for some fixed values of 1 there is more than one assigned value of 1 leading to
the same ARL isoline. In other words, the ARL of a specific 1 strongly depends on
the magnitude of change in the variance 1 and oscillates within the range of possible
values. In this case the ARL isoline is not monotone. The effect is apparent for bigger
values of 1 . For fixed 1 and decreasing (bear in mind that the control chart is
calibrated to 0 = 1) the ARL decreases while it increases for a short range of values

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3.0

EWMA charts: ARL considerations in case of changes in location and scale

EWMA p
EWMA X S2

2.5

2.5

10

2.0

2.0

20
50
100
370

50
100

1.0

370

0.5

0.5

1.0

20
1.5

1.5

10

1.0

0.5

0.0

0.5

1.0

1.0

(a)

0.5

0.0

0.5

1.0

(b)

Fig. 7 Comparison of the EWMA p chart and the EWMA X -S 2 scheme (one-sided variance chart) for
on- and off-center in-control process

1 > 0 . For huge changes in the curve shape corresponds to the pictures above,
again. With regard to the off-center case of a process not running on the center of
the specification limits interval (as introduced above) Fig. 7 shows the results of the
competing schemes for an on- and off-center scenario. The charts are calibrated to
ARL0 = 370.4, = X = S = 0.1. Figure 7b presents the off-center case for 0 =
+ 0.25 where the performance of the EWMA p chart improves within all ranges
of changes in . For values 1 > |1| the EWMA p scheme even excels over its rival.
While the EWMA p chart already considers both increasing and decreasing process
variance it might be of interest to compare it to the EWMA X -S 2 scheme with twosided variance chart. Again, the charts are configured for ARL0 = 370.4 and =
X = S = 0.1. Differences between the choice of different values of are not
considered, here, which would not change the basic results of the following analysis.
The run length of the simultaneously applied EWMA X -S 2 scheme follows


L E,X S = min L E,X , L E,S ,


L E,X = inf i N : |Z iX 0 | > c E,X Z
X ,


S
2
L E,S = inf i N : Z iS 02 > c E,S(u) Z
S Z i 0 < c E,S(l) Z S .

where c E,S(l) and c E,S(u) are constant design parameters of the two-sided (lower and
upper) EWMA S 2 chart. Figure 8a shows ARL isolines for the on-center case of
the EWMA p control chart and the EWMA X -S 2 scheme with two-sided variance
chart. Here, the two-sided variance chart is set up to provide results based on the
unbiased ARL conceptsee Knoth (2007), Pignatiello et al. (1995), Acosta-Meja
and Pignatiello (2000). Figure 8b illustrates the off-center case for 0 = + 0.25.
The ARL levels presented correspond to the illustrations above. Both figures exhibit
an interesting curve shape of the combined EWMA X -S 2 scheme (in Fig. 8a, the

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3.0

S. Steinmetz
3.0

384
EWMA p
EWMA X S2 (twosided)

2.5

2.5

10

2.0

2.0

20
50
100
370

50
100

0.5

1.0

370

0.5

1.0

20
1.5

1.5

10

1.0

0.5

0.0

0.5

1.0

1.0

(a)

0.5

0.0

0.5

1.0

(b)

Fig. 8 Comparison of the EWMA p chart and the EWMA X -S 2 scheme (two-sided variance chart) for
on- and off-center in-control process

EWMA X -S 2 scheme resembles a single point at 0 = 0, 0 = 1 for the in-control

case ARL0 = 370.4). The different levels of the ARL profile symmetrically go to both
directions of and .
The ellipse shape proves the impact of the S 2 chart on the performance of the

X chart. Thus, decreasing (in fact process variance is reduced) makes the X chart
less sensitive for the detection of changes in . This result is not self-evident because
one might expect bigger ARL values for decreasing process variance. To get this
clear, one should fix on a specific value of and then decrease the value of to
the ARL isoline beneath. Here, ARL1 for unchanged is smaller compared to the
situation before. In addition, the shape of the ARL isoline proves that the sensibility
of the X chart degenerates along the direction. This is why the mean chart does
not detect changes in mean very quickly. Hence, the reduction of the variance does
not only have a positive effect on monitoring the process. In fact, both mean and
variance of a process should be analyzed in both directions making conclusions about
process quality. This can be an argument for the application of the two-sided variance
chart compared to the one-sided case. It can be an alternative to recently introduced
approaches such as provided by Castagliola et al. (2011) who used two one-sided
EWMA charts monitoring the sample coefficient of variation = S/ X . Because of
its properties and performance, the application of the two-sided EWMA X -S 2 scheme
can be reasonable for practitioners and therefore should be kept in mind.
With regard to the actual performance comparison of the two schemes Fig. 8a, b
shows similar results. For the off-center case there are performance advantages for
the combined EWMA scheme within all ranges of changes in and . Each ARL
isoline is located underneath the related profile of the EWMA p chart which means
that the combined mean and variance chart scheme detects specific changes more
quickly. Again, this result is not surprising because two single charts are applied
that are specified for change detection of only one parameter. Overall the EWMA p
chart does not perform badly. Especially for the off-center case the advantages of the

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EWMA charts: ARL considerations in case of changes in location and scale

385

combined scheme fade out. For big changes in mean, say 1 > 1, there is a certain
range of parameter combinations (1 , 1 ) where the EWMA p chart outperforms its
opponentsee results of the performance comparison of the EWMA p chart and
an EWMA X -S 2 scheme with one-sided variance chart above. Finally, the EWMA
p chart underlines its relevance for uncommon process situations applying a single
chart for monitoring mean and variance at the same time. Thus, it can be a helpful
alternative scheme for various fields of application.
4.3 Comparison in case of varying , constant

400

400

While previous results presented the EWMA p chart and a certain opposing scheme
with a view to the performance in case of both changes in mean and variance, the
comparison will close with a short presentation of ARL profiles in case of varying
and fixed what will make the performance overview more clear. The ARL profiles of
the EWMA X chart and the EWMA X -S 2 scheme (one- and two-sided variance chart)
are each based on ARL0 = 370.4, = 0.1 and 0 = 1. Figure 9a shows the schemes
fixed at 0 = = 0 while Fig. 9b presents the familiar off-center scenario fixed at
0 = + 0.25. For both pictures only changes in are considered with regard to
the ARL performance. Figure 9a illustrates the specific characteristic of the EWMA
X -S 2 scheme with two-sided variance chart. It is the only one that obviously detects
the process being out-of control due to decreasing which was already explained
above. The three other profiles only detect increasing while accepting that decreasing
variance might has an impact on the sensibility of change detection regarding mean. For
the EWMA p chart changing variance is already taken into account by the functional
relationship of p = f (, ). Thus, for fixed mean, decreasing variance has no negative
impact on the percent defective p and consequently on the ARL of the control chart,
recall Fig. 2. For the situation presented, Fig. 9a shows advantages for the EWMA
X -S 2 scheme with one-sided variance chart. These advantages slightly fade out for

300
200

100

200
0

100

300

EWMA p
EWMA X
EWMA X S2
EWMA X S2 (twosided)

0.7

0.8

0.9

1.0

1.1

1.2

1.3

0.7

0.8

(a)

0.9

1.0

1.1

1.2

1.3

(b)

Fig. 9 Performance overview of several control chart schemes for on- and off-center in-control process

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S. Steinmetz

big values of 1 . Within a narrow range around 0 the EWMA p chart performs quite
well and excels two of its rivals. It is no surprise that the common EWMA X chart
performs worst in case of fixed mean and changing variance (bear in mind that it is
actually set up for detecting changes in mean, only). Within the off-center scenario
the results do not change dramatically. Figure 9b shows similar curve shapes for the
two EWMA X -S 2 schemes and a barely changed profile for the EWMA p chart. Only
the EWMA X chart shows visible effects on the performance. Thus, the results of the
on-center case can be underlined, here.
5 Conclusions
Knoth and Steinmetz (2013) introduced the EWMA p chart concept which is based
on the idea of Krumbholz and Zller (1995). The basic result of the present work is
that this recently introduced new EWMA scheme for monitoring the percent defective
p (sampled by variables) can be a serious alternative to the ordinary EWMA concepts
having obvious advantages. In contrast to ordinary EWMA schemes only one statistic
has to be applied monitoring mean and variance at the same time. In addition, this
statistic can be intuitively interpreted and the EWMA sequence has only one design
parameter (control limit). The performance comparisons in case of both varying mean
and variance presented useful ARL profiles. While there are predominant schemes for
monitoring mean and variance at the same time (in terms of their actual ARL performance), such as the EWMA X -S 2 scheme, practitioners are interested in possibilities
of applying single charts instead of simultaneously implementing two charts (for both
mean and variance). Here, some facts within certain parameter combinations are presented. In a comparison between the EWMA p chart and the classical EWMA X chart
the usual mean chart predominates for changes in (which is no surprise). When it
comes to increasing variance, this picture turns. The results present the ARL behavior
in case of a process not running on the specification limits interval, too. Here, the
EWMA p chart underlines its relevance showing that its disadvantages with regard to
detecting changes in mean slightly fade out. A short summing up of the scheme performances is shown for a certain fixed value of . The basic results that were formerly
presented in newly introduced ARL isolines are summarized in a classical picture.
Even though the helpfulness of the EWMA p chart strongly depends on the actual
process scenario and the main focus of its operator, the results presented underline
the relevance of this type of chart. Future work/research will enhance the model by
estimating not only the mean but also the variance. While only fixed changes in the
variance of the process were taken into account so far, the actual estimator of the percent
defective p = f ( X , S) will complete the picture. Finally, investigating the robustness
of the EWMA p scheme with regard to deviation from normality, autocorrelation or
multivariate specifications can be subject of the future analysis.
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