A New Robust Multivariate EWMA Dispersion Control Chart for Individual Observations

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Original languageEnglish
Article number1038
Journal / PublicationMathematics
Issue number9
Online published3 May 2021
Publication statusPublished - May 2021



A multivariate control chart is proposed to detect changes in the process dispersion of multiple correlated quality characteristics. We focus on individual observations, where we monitor the data vector-by-vector rather than in (rational) subgroups. The proposed control chart is developed by applying the logarithm to the diagonal elements of the estimated covariance matrix. Then, this vector is incorporated in an exponentially weighted moving average (EWMA) statistic. This design makes the chart robust to non-normality in the underlying data. We compare the performance of the proposed control chart with popular alternatives. The simulation studies show that the proposed control chart outperforms the existing procedures when there is an overall decrease in the covariance matrix. In addition, the proposed chart is the most robust to changes in the data distribution, where we focus on small deviations which are difficult to detect. Finally, the compared control charts are applied to two case studies.

Research Area(s)

  • Covariance matrix, EWMA, Individual observations, Multivariate dispersion chart, Non-normality

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