Research Article

(wileyonlinelibrary.com) DOI: 10.1002/qre.1980 Published online in Wiley Online Library

Design and Implementation of Two CUSUM

Schemes for Simultaneously Monitoring the
Process Mean and Variance with Unknown
Parameters
Chenglong Li,a,c Amitava Mukherjee,b Qin Suc*† and Min Xiea
Designing joint monitoring schemes for the mean and variance of a Gaussian process (normal distribution) using a single
combined statistic instead of the traditional approach of using two separate statistics has gained many attention in recent
years. Most of the existing one-chart schemes, however, assume that the true process parameters (standards) are known
which is usually not practical and will lead to problems because of improper choices of statistic and control limits. In this
paper, we propose two CUSUM control schemes that instinctively work well for the joint monitoring in the case of the
unknown parameters by correcting the influence of the reference sample on the plotting statistic. We provide the control
limits of the proposed control charts for practical implementation and also offer follow-up procedures for post-signal
detection of the nature of shifts. We carry out a comprehensive simulation study to examine the performance of the schemes.
When the true population parameters are unknown, we observe clear and distinct performance advantages of the proposed
schemes. The empirical design issues regarding the optimal choice of the reference value of the proposed CUSUM schemes
are systematically investigated. We provide beneficial recommendations for the practitioners. We also provide an example to
illustrate the practical relevance of the proposed schemes. Copyright © 2016 John Wiley & Sons, Ltd.

Keywords: CUSUM scheme; distance chart; joint monitoring; max chart; parameter estimation

1. Introduction
tatistical process control and monitoring schemes, such as control charts, are widely used in various sectors starting from

S manufacturing industry to several non-manufacturing environments. These schemes are primarily used for monitoring the
process distribution and detecting any changes in the process parameters. Most of the traditional control techniques monitor
a single process parameter, usually the mean or the variance. In recent years, host of researchers advocated in favour of a joint
monitoring scheme for a more efficient process control. The issue of the joint monitoring is particularly important in situations where
a process could be affected by special causes that may result in concurrent shifts in both the mean and variance. Gan et al.1 provided
an interesting example of an improperly fixed stencil in a circuit manufacturing. This may lead to a shift in the mean and variance of
the thickness of the solder paste printed on circuit boards. Similarly, the need for simultaneously comparing the location and scale
arises also out of fields like climate dynamics2, bioinformatics3, supply chain4, maintenance5, finance,6 and medicine7. Interested
readers may refer to Marozzi8 that addressed a wide scope of applications of simultaneous tests of the location and scale. Marozzi8
also comprehensively reviewed and compared several nonparametric statistics for simultaneous tests. Being nonparametric, the
control schemes based on the plotting statistics, as in Marozzi8, have broader applicability. Those statistics can be applied to various
sectors beyond manufacturing industries, as mentioned in the preceding texts, where the process distribution is, in general, non-
normal. Interested readers may also refer to Mukherjee and Marozzi9 for more details. In this paper, we, however, focus only on
the joint monitoring within the traditional Gaussian framework.
There is a plethora of literature on the joint monitoring schemes. We can see broadly two major groups of works. Some works
addressed monitoring the mean and variance jointly on a single chart, such as Chen et al.10, Costa and Rahim11, Wu et al.12, Li
et al.13, Zhang et al.14 and Ou et al.15, and among others. The rest of the works use a more classical approach of combining two
separate charts, one apiece for monitoring the mean and the variance, for example, Gan16, Costa17, He and Grigoryan18, and Lee19.

a
Department of Systems Engineering and Engineering Management, City University of Hong Kong, Hong Kong, China
b
XLRI-Xavier School of Management, Production Operations and Decision Sciences Area, Jamshedpur, India
c
School of Management, State Key Laboratory for Manufacturing Systems Engineering, The Key Lab of the Ministry of Education for Process Control Efficiency
Engineering, Xi’an Jiaotong University, Xi’an, China
*Correspondence to: Qin Su, Xi’an Jiaotong University, School of Management, Xi’an, China.
†
E-mail: qinsu@mail.xjtu.edu.cn

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

In reality, one-chart schemes are more attractive for both practical and statistical reasons. Joint monitoring based on a single chart
usually has performance advantage, especially when the process parameters are unknown. Further, such an approach typically
requires fewer process control resources and is easier to implement and follow up. Interested readers may see the review literature
by Cheng and Thaga20 that covers early contributions in this area. Recently, McCracken and Chakraborti21 reviewed the new
developments between 2006 and 2012. They also highlighted the current trends in joint monitoring research. For very recent papers
on joint monitoring, readers may refer to, among others, Haridy et al.22, Ou et al.,23 and Mukherjee et al.24.
The majority of the available one-chart schemes for jointly monitoring the process mean and variance are designed with the
presumption that the true parameters are known and the situation is described by the term ‘standards known’ or ‘Case-K’. Nevertheless,
more common and practical situation is that the one or more process parameters are unknown and are estimated from a reference
(Phase-I) sample. The term ‘standards unknown’ or ‘Case-U’ describes such a situation. It is well known that when the parameters are
unknown and are estimated from a reference sample (especially when the sample size is small), the estimation has a great impact on
the in-control (IC) performance metrics, such as the average run length (ARL) and the false alarm rate (FAR) and is more often, detrimental
to the out-of-control (OOC) performance of the charts. It may result in increasing the observed FAR or delaying the detection. In a nicely
written review paper by Jensen et al.25, they thoroughly discussed the effects of estimation of unknown parameters on the performance
of a number of control charts. Specially, for traditional control schemes to monitor the mean and variance simultaneously under Case-U,
there is an emerging concern about the use of certain improper plotting statistics. Therefore, we recommend modifying the Case-K
control charts so that the revised charts always yield a desired nominal IC-ARL (or called ARL0) when a reference sample is used to
estimate the unknown parameters. Further, we suggest amending the control limits based on the corrected plotting statistics.
Recently, McCracken et al.26 rendered an effective solution for simultaneous monitoring of unknown mean and variance of a
normally distributed process. They considered the Shewhart-type control schemes under Case-U by suitably modifying two well-
known schemes for Case-K, namely, the max chart introduced by Chen and Cheng27 and the distance chart proposed by Razmy28.
Both of the max and the distance charts for Case-K are based on the Z and the chi-squared statistics, respectively, used for testing
hypotheses about the mean and the variance. The plotting statistics of the max and distance charts are given by
     
X i  μ  1 ðn  1ÞS2i 
  
Mi ¼ max  pffiffiffi ; Φ Fχ 2  ;
σ= n ðn1Þ σ2 

and
sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 2    2
Xi  μ 1 ðn  1ÞS2i
Di ¼ p ffiffiffi þ Φ Fχ 2 :
σ= n ðn1Þ σ2

Here the functions Φ(.) and F χ 2 ð:Þ denote, respectively, the cumulative distribution functions (cdf) of the standard normal
ðn1Þ

distribution and the chi-squared distribution with (n  1) degrees of freedom; the parameters μ and σ 2 denote the true process mean
and variance, and X i ands S2i are the mean and the variance of the ith test sample of size n. McCracken et al.26 noted that when both
parameters are unknown and are estimated from an IC reference sample, instead of the Z and the chi-squared statistics, it would be
ideal to combine the Student’s t statistic, suitable for testing a hypothesis concerning μ when σ 2 is unknown, and the F statistic,
recommended for testing a hypothesis concerning σ 2 when μ is unknown. Following this idea, McCracken et al.26 modified the
Shewhart-type max and distance control charts for Case-U. In this context, it is worth mentioning that the joint monitoring procedures
may also be viewed as the online version of combined and multi-aspect testing. Readers may refer to, for example, Pesarin and
Salmaso29 and Marozzi30 for more details on multi-aspect testing.
The Shewhart-type schemes are usually good for detecting large and abrupt shifts in a process. However, in practice, more often the
magnitude of shifts in either or both parameters are small and of persistent nature. It is well known that the CUSUM schemes are superior
to the Shewhart-type schemes in such situations. Therefore, it is an important open problem to study the design and implementation of the
CUSUM-based schemes for joint monitoring of normally distributed processes under Case-U. In this research, we embrace the method by
McCracken et al.26 and propose two modified CUSUM schemes, namely, the max-CUSUM chart and the distance-CUSUM chart (hereafter
referred to as M-CUSUM chart and D-CUSUM chart) for Case-U and study their implementation and performance properties.
The rest of the paper is organized as follows. Section 2 is devoted to the new design of the CUSUM schemes for joint monitoring
under Case-U. The implementation and performance investigation are studied in Section 3. In this section, we present a
comprehensive comparison of the two modified CUSUM charts with the two Shewhart-type charts proposed by McCracken et al.26,
and then further investigate the effect of the reference value of the CUSUM chart on the chart performance as well as the optimal
choice of the reference value with unknown shift sizes. Section 4 provides an illustrative example to offer more practical insights.
Section 5 concludes with some remarks.

2. A new design of CUSUM schemes for joint monitoring

When the process parameters are unknown, it is common practice that we estimate these parameters from an IC reference (or a
Phase-I) sample and plug them in to calculate control limits as if the estimated values are the true values. However, wrong choices

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

of the statistic and corresponding control limits invariably induce additional variability that significantly influences the ARL-based
performance of a control chart. In such cases, use of traditional control schemes designed for Case-K for joint monitoring of the mean
and variance is troublesome as well as unethical. The problem is particularly severe when the size of the reference sample is small and
the test (Phase-II) sample size is relatively large.
McCracken et al.26 showed that when the reference sample size is small (usually 100 or less, as in most practical situations),
adjustments of the plotting statistic and control limits of Case-K charts are an absolute necessity. A large number of reference samples
are rarely available in practice. Therefore, it is better to consider appropriate schemes for Case-U such that the ARL0 will be close to a
nominal value. Otherwise, there might be many false alarms or unnecessary delay in detecting the shifts in the mean and/or variance.
Such phenomena will diminish the practical utility of these charts. This is certainly unwanted for an effective monitoring scheme. To
overcome the drawbacks, we propose two new CUSUM schemes based on the corrected plotting statistic and derive the control limits
for Case-U.

2.1. Statistical framework for proposed CUSUM schemes

Consider the sets of random observations, say, Ui1 ; Ui2 ; …; Uini , from a normally distributed process with mean μi and variance σ 2i for
i = 0, 1. Further, assume that the two sets U0’s and U1’s are mutually independent and the parameters μi and σ 2i are all unknown with
 ∞ < μi < ∞ and 0 < σ 2i < ∞, i = 0, 1. An IC process may be characterized by μ0 = μ1 = μ and σ 20 ¼ σ 21 ¼ σ 2. That is, under IC set-up, the
two populations are identical in all respects. Under OOC set-up, we assume that the normality of both populations are valid but either
or both of the previously mentioned two equalities among the parameters are disturbed.
Define, for i = 0, 1, the respective sample means and variances, say,
1 ni 1 ni  2
Ui ¼ ∑ Uij and S2Ui ¼ ∑ Uij  Ui :
ni j¼1 ni  1 j¼1

It is well known that the Ūi ’ s and S2Ui ’s are independent with the former following a normal distribution with mean μi and variance
σ 2i
ni, and the later assuming a chi-squared distribution with (ni  1) degrees of freedom. Writing N = n0 + n1, introduce, as in McCracken
et al.26, two statistics that correctly account for the influence of the reference sample on the plotting statistics, namely,
rffiffiffiffiffiffiffiffiffiffi 
n0 n1 U1  U0 S2
W1 ¼ and W 2 ¼ U2 1 :
N SU 0 SU 0

McCracken et al.26 noted that given Ū0 and S2U0 , W1 and W2 are mutually independent. Further, W1 follows a normal distribution with
pnffiffiffiffiffiffiffi
0 n1 ð 1
μ U0 Þ σ2 ðn1 1ÞS2U
mean N SU and variance nN0 S21 , and σ2
0
W 2 follows a chi-squared distribution with (n1  1) degrees of freedom.
0 U0 1

Unconditionally, when the process is IC, we have W1 follows a t distribution with (n0  1) degrees of freedom, and W2 follows an F
distribution with (n1  1) and (n0  1) degrees of freedom, but W1 and W2 are not mutually independent.



Write W 1  ¼ Φ1 ζ n0 1 ðW 1 Þ and W 2  ¼ Φ1 F n1 1;n0 1 ðW 2 Þ , where ζυ(.) and F υ1 ;υ2 ð:Þ denote, respectively, the cdf of a t
distribution with υ degrees of freedom and that of an F distribution with υ1 and υ2 degrees of freedom. Following the results as in
pffiffiffiffi
n0 ðU0 μ0 Þ ðn0 1ÞS2
McCracken et al.26, the joint cdf of W 1 and W 2 conditioning on Z U0 ¼ σ0 and V U0 ¼ σ2 U0 is given by
0

 rffiffiffiffiffi rffiffiffiffiffiffiffiffiffiffiffiffiffi rffiffiffiffiffi  

pffiffi N V U0 n1 ðn1  1Þ
F W 1 ;W 2 ðv 1 ; v 2 jZ U0 ; V U0 Þ ¼ Φ τ b þ Z U0 þ δ F χ 2 dτV U0 :
n0 n0  1 n0 ðn1 1Þ ðn0  1Þ

And further, the unconditional joint cdf of W 1 and W 2 is

∞∞   rffiffiffiffiffi rffiffiffiffiffiffiffiffiffiffiffiffiffi rffiffiffiffiffi   
pffiffi ðn1  1Þ
ðv 1 ; v 2 Þ ¼ ∫ ∫ Φ τ
N v U0 n1
F W 1 ;W 2 b þ zU0 þ δ F χ 2 dτv U0
0 ∞ n0 n0  1 n0 ðn1 1Þ ðn0  1Þ

ϕ ðzU0 Þf χ 2 ðv U0 Þdz U0 dv U0 :
ðn0 1Þ

pffiffiffiffiffi
where b ¼ ζ 1 1
n0 1 fΦðυ1 Þg, d ¼ F n1 1;n0 1 fΦðυ2 Þg, τ ¼ σ 0 =σ 1 , and δ ¼
2 2
n1 ðμ0  μ1 Þ=σ 0 ; the functions ϕ(.) and f χ 2 ð:Þ denote the
ðn0 1Þ
probability distribution function (pdf) of the standard normal distribution and the chi-squared distribution with (n0  1) degrees of
freedom, respectively.
Notice that when δ = 0 and τ = 1, the joint (conditional and unconditional) cdf will not depend on any nuisance parameters. As a
consequence, the IC run-length distributions of all control charts based on W 1 and W 2 are free from any unknown parameters.
Therefore, W1* and W2* can be easily used for jointly monitoring the unknown process mean and variance. Now, introducing the
max-type and the distance-type operators, we combine W1* and W2*, and obtain two statistics for joint monitoring purposes, namely,

     qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
Ψ ¼ max W   ; W   and Δ ¼ W *2 þ W *2. Based on these statistics, we develop two (Phase-II) CUSUM control charts for Case-U,
1 2 1 2

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 C. LI ET AL.

say, the modified M-CUSUM chart and the modified D-CUSUM chart. In this context, we use the term ‘modified’ to distinguish these
charts from their classical versions (Case-K). The charting procedures are provided in the following subsection.

2.2. Proposed CUSUM charting procedures

The charting procedures of the proposed modified M-CUSUM and D-CUSUM charts to monitor the unknown mean and variance of a
normally distributed process are outlined as follows:

2.2.1. The modified M-CUSUM chart

Step 1. Collect a reference sample of size m from an IC process:

X m ¼ ðX 1 ; X 2 ; …; X m Þ:

Step 2. Let Yj,n = (Yj1, Yj2, …, Yjn) be the jth test sample of size n, j = 1, 2, ….
Step 3. Identify the U0’s with the X’s and the U1’s with the Y’s, respectively, and compute the statistics W 1 and W 2 for the jth test
sample, for j = 1, 2, …. 
 
Step 4A. Obtain Ψ μm;n ¼ E Ψ jICÞ ¼ E max W 1 j; jW 2  jICÞ via numerical method.
n o
Step 5A. Calculate the max-type statistic: Ψj ¼ max jW 1j j; jW 2j j for j = 1, 2, ….
h   i
Step 6A. Compute the plotting statistic: C Mj ¼ max 0; C Mj1 þ Ψj  Ψ μm;n  k , with the starting value CM0 = 0. Here, k(≥0) is
called reference value.
Step 7A. Note that Ψ j ≥0 by definition and whatever be the direction of shift, Ψ j will be larger under an OOC set-up. Therefore, only
upper one-sided CUSUM chart is recommended. So, plot CMj against the upper control limit (UCL) HM. Determination of
HM is discussed later in subsequent section.
Step 8A. If CMj exceeds HM, the process is declared OOC at the jth test sample. If not, the process is thought to be IC, and testing
continues to the next test sample.

2.2.2. The modified D-CUSUM chart

qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ð Þ
Steps 1–3. Same as before.
Step 4B. Obtain Δμm;n ¼ E ðΔjICÞ ¼ E W *1 2 þ W 2*2 jIC via numerical method.
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
Step 5B. Calculate the distance-type statistic: Δj ¼ W *1j2 þ W 2j *2 for j = 1, 2, ….
h   i
Step 6B. Compute the plotting statistic: C Dj ¼ max 0; C Dj1 þ Δj  Δμm;n  k , with the starting value CD0 = 0.
Step 7B. Here also, Δj ≥ 0 by definition and whatever be the direction of shift, Δj will be larger under an OOC set-up. Therefore,
plot CDj against the UCL HD. Determination of HD is discussed later in subsequent section.
Step 8B. If CDj exceeds HD, the process is declared OOC at the jth test sample. If not, the process is thought to be IC, and testing
continues to the next test sample.
Note that here we can also use Δ2j ¼ W 1j *2 þ W *2 for j = 1, 2, …, as the distance-type statistic. In particular,
 2   2j
* *
E Δ jIC ¼ E W 1 þ W 2 jIC ¼ 2, whatever be m and n. This property can be useful in practice allowing for facilitating charting
2 2

procedures.
2.2.3. Follow-up procedures

If the process is declared OOC at a certain step, it is important to find out whether there is a shift in mean or in variance or in both
parameters. To this end, we may suggest a unified p-value-based approach in the line of McCracken et al.26 and Chowdhury et al.31,32
for both of the CUSUM charts. Note that the CUSUM chart is basically intended for small and/or persistent shift. Therefore, we
recommend to perform a two sample t-test for mean and a F-test for variance based on m Phase-I observations and all the Phase-
II observations drawn till the point of signal and compute respective p-values of the two tests, say, p1, p2. Unlike the testing of
hypothesis where p-value below 0.05 is often considered as an indication of shift, traditionally, control charts operate at a very small
p-value (such as 0.002 for a Shewhart X chart with ARL0 = 500) to protect against FARs.
(i) If p1, p2 < 0.002, a shift in both mean and variance is indicated.
(ii) If both p1, p2 > 0.05, a false alarm is indicated.
(iii) If p1 < 0.002 and p2 > 0.05, a shift in mean is indicated.
(iv) If p2 < 0.002 and p1 > 0.05, a shift in variance is indicated.
(v) If p1 < 0.002 and 0.002 ≤ p2 ≤ 0.05, a major shift in mean with possible associated shift in variance is indicated.
(vi) If p2 < 0.002 and 0.002 ≤ p1 ≤ 0.05, a major shift in variance with possible associated shift in mean is indicated.
(vii) If p1 > 0.05 and 0.002 ≤ p2 ≤ 0.05, that could be an early sign of shift in variance.

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

(viii) If p2 > 0.05 and 0.002 ≤ p1 ≤ 0.05, that could be an early sign of shift in mean.
(ix) If 0.002 ≤ p1, p2 ≤ 0.05, that could be an early sign of shift in both mean and variance.
In this context, it is worth mentioning that the ordinary t-test is slightly affected when there is a shift in the variance. Similarly, the
power of the F-test is also reduced when there is a shift in the mean. That leads to a multiplicity issue in follow-up. In the current work,
we omit multiplicity issue for simplicity. Further researches to avoid multiplicity issues in follow-up and designing improved joint
monitoring procedures are highly warranted. Some direction to this end is included in concluding remarks.

3. Practical implementation and performance investigation

3.1. Determination of UCL
The proposed modified M-CUSUM and D-CUSUM charts are designed by setting a target nominal ARL0. A search algorithm is used to
determine the appropriate UCL that yields the desired nominal ARL0 for a given triplet (m, n, k). To this end, one can use the Markov chain
approach to calculate the control limits for target ARL0 or simply use a Monte Carlo simulation with adequate replicates (say 100 000). We
found that both methods display a great degree of agreement according to our evaluations and comparisons. The details of Markov
chain-based technique for deriving the run-length distribution characteristics of a CUSUM chart are given in Appendix 1.
In Table I, we offer some UCL values of both charts of various k for various combinations of m and n and a nominal ARL0 of 500. It is
seen from Table I that there are distinct changes in the standards unknown UCL values resulting from the changes in the k values.
When the reference sample size m increases and the test sample size n is fixed, the UCL values, HM and HD for Case-U, are approaching
towards the limit—the corresponding UCL values of Case-K. The UCL starts increasing slightly once m is sufficiently large, say m = 300.
Additionally, the UCL decreases when m is fixed and n increases.

3.2. Performance comparisons

In this section, the performance of the modified M-CUSUM and D-CUSUM charts is thoroughly examined. In the same line as in
McCracken et al.26, we consider four choices of Phase-I sample size m, viz., m = 100, 75, 50, and 30, with the subgroup size in
Phase-II samples n = 5 and a nominal ARL0 = 500. The reference value k is set to 0.25, 0.5, and 1, respectively. We consider μ0 = 0
and σ 0 = 1, which is the standard normal distribution for simulating IC samples. Further, we choose μ1 = 0, 0.1, 0.25, 0.5, 0.75, 1,
1.25, 1.5, 2, and 3 along with σ 1 = 1, 1.25, 1.5, 1.75, and 2, respectively, for drawing Phase-II samples for the OOC performance analysis.
Note that the case when μ0 = μ1 = 0 and σ 0 = σ 1 = 1 represents the IC case and other combinations of values of μ0, μ1 and σ 0, σ 1
represent various OOC cases.
For a specified triplet (m, n, k) and a given ARL0, we obtain the ARL and the standard deviation of the run length (SDRL) for various
combinations of shifts in the means and the standard deviations. In this paper, we only present the results for m = 100, 50 and n = 5 in
Tables II and III. In these tables, we also include the corresponding results of the modified Shewhart-type schemes of McCracken
et al.26 to facilitate comparisons. Such comparisons are meaningful in the sense that all these schemes are based on functions of

Table I. The UCL values of the modified M-CUSUM and D-CUSUM charts of various k for various combinations of m and n and a
nominal ARL0 of 500
Proposed M-CUSUM chart Proposed D-CUSUM chart

m n k = 0.25 k = 0.5 k = 1.0 k = 0.25 k = 0.5 k = 1.0

500 5 3.40 2.15 1.21 3.83 2.40 1.34
400 5 3.39 2.14 1.20 3.82 2.39 1.33
300 5 3.35 2.12 1.19 3.77 2.37 1.32
200 5 3.26 2.08 1.17 3.64 2.32 1.30
150 5 3.20 2.05 1.15 3.57 2.28 1.28
100 5 3.11 2.01 1.13 3.46 2.23 1.25
75 5 3.04 1.98 1.11 3.36 2.18 1.23
50 5 2.91 1.91 1.07 3.20 2.09 1.18
30 5 2.71 1.81 1.01 2.94 1.97 1.11
100 15 3.00 1.95 1.09 3.32 2.15 1.21
75 15 2.85 1.88 1.05 3.14 2.06 1.16
50 15 2.62 1.75 0.97 2.86 1.92 1.08
30 15 2.20 1.52 0.82 2.36 1.64 0.91
100 25 2.76 1.83 1.02 3.04 2.01 1.13
75 25 2.56 1.72 0.96 2.79 1.88 1.06
50 25 2.22 1.53 0.83 2.40 1.66 0.92
30 25 1.74 1.23 0.62 1.85 1.32 0.69

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

Table II. Performance comparisons for various OOC cases when μ0 = 0, σ 0 = 1, m = 100, and n = 5

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

Table III. Performance comparisons for various OOC cases when μ0 = 0, σ 0 = 1, m = 50, and n = 5.

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

the same basic statistics W1* and W2*. Comparative performance of the schemes for m = 75, 30 and n = 5 are very similar (and
consistent) with the displayed tables, so that we omit the details for brevity. In Tables II and III, each cell shows the ARL and (SDRL)
values. The cells correspond to the best performing chart (with the lowest OOC-ARL) are shaded in tables.
The simulation results reveal that for all these charts in a given situation, the OOC-ARL values and the SDRL values decrease steeply
with the increasing shift in the mean and also with the increasing shift in the variance, which is expected. Specifically, the charts
detect an upward shift in the variance faster than that in the mean, as we see from Tables II and III that the reduction in the ARL
for an increase in the variance when the mean is IC is greater than that for an increase of the same percentage in the mean when
the variance is IC. When there is a large shift in the mean (e.g. μ1 = 3) accompanied by a shift in the variance, we notice an interesting
phenomenon. We find out that in this scenario, the OOC-ARL values increase slightly instead of being reduced, with the increasing
shift in the variance. For example, the OOC-ARL under μ1 = 3 and σ 1 = 2 is found to be marginally higher than the OOC-ARL values
under μ1 = 3 and σ 1 = 1.75. This phenomenon is also seen in McCracken et al.26 and Chowdhury et al.32, although they did not report
it. Besides, it is also observed that the OOC performance is improved by enlarging the reference sample size. This is intuitively
justifiable. When we have more knowledge about the unknown process parameters, it improves the effectiveness of the chart.
Beyond the general overview, from the tables, we observe that the two proposed CUSUM charts perform rather similarly,
though the D-CUSUM chart slightly outperforms the M-CUSUM chart in most cases. The M-CUSUM chart is marginally better in
detecting moderate-to-large shifts in the mean (1.0 to 3.0) accompanied by smaller or no shifts in the variance. For example, when
(m, n, k) = (100, 5, 0.5), the mean shift from 0 to 1.5 and there is no shift in the variance, the ARL of the modified M-CUSUM chart is
1.96, while that of the modified D-CUSUM chart is around 6% larger. However, the modified D-CUSUM chart has a shorter ARL in
the majority of the cases, including small shifts in the mean (less than 0.75) with no shift in the variance and moderate-to-large shifts
in the variance accompanied by any shift in the mean. Thus, in general, the modified D-CUSUM chart may be preferable.
We also see from Tables II and III that for various choices of k (0.25, 0.5, and 1) the two proposed CUSUM charts always display
superior performance as expected, in detecting small-to-moderate shifts in the mean and/or variance, compared with the modified
Shewhart-type charts. Later we further find that by choosing an appropriate k, the CUSUM charts are still able to marginally
outperform the Shewhart-type charts even for the larger shifts. Hence, from a performance standpoint, we highly recommend the
two proposed CUSUM schemes for jointly monitoring unknown mean and variance, instead of the Shewhart-type schemes proposed

Figure 1. OOC-ARL values of the four types of charts for various values of k and various combinations of μ1 and σ 1 when σ 1 = 1.0

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

by McCracken et al.26. The CUSUM schemes are adaptive and offer very fast detection for targeted shifts. In the next section, we
systematically discuss the empirical design issues regarding the reference value k for optimal performance of the proposed CUSUM
charts.

3.3. Empirical design of optimal reference value

It has long been recognized that the reference value k of a CUSUM chart has a large impact on both of the IC and OOC performance of
the chart, especially the latter. In the previous sections, we have displayed some results for the modified M-CUSUM and D-CUSUM
charts of various k. In this section, we go further into the empirical design of optimal k.
In the IC set-up, for fixed m, n, and ARL0, we have seen from Table I that the value of H decreases significantly with an increase in k.
More specifically, the value of H decreases rapidly with increasing k when k is relatively smaller and tends to decrease slowly when k is
relatively larger. In the OOC set-up, it is of importance to search for the optimal k that facilitates the CUSUM charts to return the lowest
OOC-ARL for a given shift. For brevity, we consider μ1 = 0.25, 0.5, 1.0, 2.0 and σ 1 = 1.0, 1.5, 2.0, while μ0 = 0 and σ 0 = 1. The OOC-ARL
values for the modified M-CUSUM and D-CUSUM charts against k are shown in Figures 1–3. The modified Shewhart-type charts of
McCracken et al.26 serve as a benchmark here. Nevertheless, Shewhart-type schemes do not involve the reference value k, so they
are straight lines in the figures. Note that we choose m = 100, n = 5, and ARL0 = 500 for illustration.
As shown in Figures 1–3, compared with the benchmark, it is clear that we can usually find some appropriate k so that the
proposed CUSUM schemes perform the best (providing the shortest OOC-ARL), in detecting not only small shifts in the parameters
but also larger shifts as well. Generally speaking, it is recommended for CUSUM schemes that smaller (larger) values of k are preferable
for detecting smaller (larger) shifts. It appears from Figures 1–3 that within the domain of k considered here, as k increases, the OOC-
ARL values for the two CUSUM charts increase when the magnitude of shift in the mean and/or variance is very small, and the OOC-
ARL values sharply decrease when the magnitude of shifts in the mean and/or variance is relatively larger. Moreover, for moderate
shifts, the OOC-ARL values initially decrease, reach a minimum, and then increase, roughly, as a U-shaped function against k. Those
optimal values of k and the corresponding (shortest) OOC-ARL values for the cases in Figures 1–3 are presented in Table IV.
It is seen that the value of k between 0 and 1 produces almost optimal performance under different amounts of shifts in either the
mean or the variance or both. With a simple artificial discretization for k of equal length (say 0.25), we colour the five partitions in

Figure 2. OOC-ARL values of the four types of charts for various values of k and various combinations of μ1 and σ 1 when σ 1 = 1.5

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

Figure 3. OOC-ARL values of the four types of charts for various values of k and various combinations of μ1 and σ 1 when σ 1 = 2.0

Table IV hierarchically for a better display of the relationship between the reference value k and the magnitude of shifts in the mean
and variance. Thus, we can see clearly that, for example, k ≤ 0.25 is especially suitable for small shifts, such as μ1 ≤ 0.75 and σ 1 ≤ 1.25.
Indeed, the optimal values of k may not be unique for those very large shifts (especially in the mean), which can easily be seen from
the fourth subfigure (d) in Figures 1–3. We consider the smallest k in such cases. Besides, we notice that the optimal values of k for the
modified D-CUSUM charts are generally larger than that of the modified M-CUSUM charts.
Traditionally, when the specific magnitude of the shifts in the mean and/or variance is assumed, the CUSUM charts can be
optimally designed in terms of (minimum) OOC-ARL. In practice, however, the nature and magnitude of process shifts in the mean
and/or variance are often unknown. The CUSUM charts may perform poorly when the actual shift size is significantly different from
the assumed size. To deal with such a problem, we often combine several CUSUM charts implemented with a different k. However,
this approach adds much complexity to the design and implementation of CUSUM charts.
Ryu et al.33 recommended a method based on the expected weighted run length (EWRL), an ARL-based performance measure, to
optimally design a CUSUM chart to detect a process mean shift of unknown size. The core idea behind the method is to optimize the
expected value of weighted ARLs based on the probability distribution of the shift. A similar consideration can be found in Wu et al.34
and Yang et al.35. Here, we apply the similar method to our problem. We consider two adaptive evaluation criteria, respectively, the
expected relative ARL (ERARL), given as

ARLðμ1 ; σ 1 Þ
ERARL ¼ ∬ f μ1 ðμ1 Þf σ1 ðσ 1 Þdμ1 dσ 1 :
D ARL opt ðμ1 ; σ 1 Þ
‡
and the expected quality loss (EQL),

EQL ¼ ∬ μ21 þ σ 21  1 ARLðμ1 ; σ 1 Þf μ1 ðμ1 Þf σ1 ðσ 1 Þdμ1 dσ 1 :
D

where ARL(μ1, σ 1) is produced by the operational CUSUM chart with a specific k at (μ1, σ 1). In the previously mentioned expressions, D
represents the process shift domain (D ∈ [μ1, σ 1|(μ1,min ≤ μ1 ≤ μ1,max) ∩ (σ 1,min ≤ σ 1 ≤ σ 1,max)]) Correction added on 30 May 2016, after first

‡
Correction added on 30 MAY 2016, after first online publication: “1/AD” in these two equations was deleted

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

Table IV. The optimal values of k and (the corresponding OOC-ARL values) for the modified M-CUSUM and
D-CUSUM charts for various OOC cases and a nominal ARL0 of 500

online publication: “and AD denotes its area” was deleted. f μ1 ðμ1 Þ and f σ1 ðσ 1 Þ indicate the probability distribution of μ1 and σ 1, respectively.
Moreover, in the expression of ERARL, ARLopt(μ1, σ 1) means the (globally) optimal ARL with the corresponding optimal k at (μ1, σ 1).
More often, it is difficult in practice to estimate the exact distribution of process shifts. Instead, on the basis of the knowledge about
the process, practitioners usually assume certain common form of the distribution of shifts. To this end, the uniform and triangular
distributions are often considered. In this paper, we consider only the uniform distribution of μ1 ∈ U[0.5, 2] and σ 1 ∈ U[1, 2] for
illustration. We present our findings in Table V for m = 100 and n = 5 related to the optimal choice of k. Both performance measures,
ERARL and EQL are displayed.

4. An illustrative example with wafers data

Montgomery36 (Table 6-1) presents a dataset for a hard-bake process that involves a Phase-I data set consisting of 25 samples each of
size five wafers, where the variable of interest is the flow width of the resist in this process. After the initial statistical control is
established, 20 additional samples (Table 6-2), each of the five flow width measurements, are taken. This is the Phase-II data.
We consider this dataset to illustrate the effectiveness of the modified M-CUSUM and D-CUSUM charts for jointly monitoring the
mean and variance of the process. Note that here the number of reference sample observations, m = 125, and the sample size, n = 5.
Let us consider a nominal ARL0 of 500 and set k = 0.5 for illustration. Using Markov chain approach, the control limits are found to be
HM = 2.036 for the modified M-CUSUM chart and HD = 2.262 for the modified D-CUSUM chart. Readers may note that the control limits
for m = 125 are quite close to those obtained for m = 150, reported as 2.05 and 2.28, respectively, in Table I. The resulting control
charts with the plotted statistics are shown in panels (a) and (b), respectively, of Figure 4.

Table V. The optimal values of k for the modified M-CUSUM and D-CUSUM charts for μ1 ∈ U [0.5, 2] and σ 1 ∈ U [1, 2] when m = 100
and n = 5
The modified M-CUSUM chart The modified D-CUSUM chart
Performance
measure k EWRL value k EWRL value

ERARL 0.6 1.07 0.7 1.07

EQL 0.6 7.37 0.6 7.01
Correction added on 30 MAY 2016, after first online publication: the values given for EQL have been corrected.

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

Figure 4. Montgomery’s36 flow width data

The two charts look very similar and indicate that the two methods are almost equally efficient. The first signal occurs at the 15th
sample for the modified M-CUSUM chart and at the 16th sample for the modified D-CUSUM chart. As both charts signal, we use the
proposed post-signal diagnostic procedures to follow up. We see that the p-value of two-sample t-test considering Phase-I and the
14th test sample is 0.0155, which gives us an early indication of location shift at sample No. 14. The p-value for two-sample t-test
for Phase-I sample and the 15th test sample is 0.0269, which also indicates a possible location shift could happen. Then, a tectonic
shift in location takes place in sample No. 16 (p-value is 0.0076) and charts detect it. In this context, we observe only a location shift.
We see from Montgomery36, employing the traditional X and R charts, only X chart first signals at the 18th sample. According to the
later investigation of Montgomery36, the process mean probably suffered a shift since the 13th sample. Therefore, it is shown that
both the CUSUM schemes proposed in this paper are superior to the traditional ones. They are detecting a possible shift more quickly
than the traditional schemes. Additionally, here no prior knowledge about the true process parameters is required.

5. Summary and conclusions

Monitoring the mean and variance of a normal (Gaussian) process is a fundamental problem in statistical process control. Preferably,
both parameters should be monitored simultaneously and fairly using an appropriate statistic. In practice, when these parameters are
unknown, they are usually estimated from an IC reference (or a Phase-I) sample, but the estimation introduces more variability. In this
paper, using the idea of McCracken et al.26, we design the M-CUSUM and the D-CUSUM charts for the standards unknown case. We
discuss their implementation strategies and study various performance properties. In general, we see that the two proposed charts

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
C. LI ET AL.

perform similarly, with the modified D-CUSUM chart having a slight advantage in most cases. Furthermore, the proposed CUSUM
schemes are superior to the Shewhart-type schemes proposed in McCracken et al.26 especially in detecting small-to-moderate shifts
in the mean and/or variance. We systematically investigate the empirical design of optimal reference value of the CUSUM schemes
and provide useful recommendations to the practitioners. When the true process parameters are unknown, two proposed CUSUM
schemes can be very useful in practice for jointly monitoring the mean and variance of a normally distributed process.
It will be an interesting future research problem to use a combination of a Welch t-type test, a robust test to detect the shift in
mean under natural heteroscedasticity and a Levene or Pan type test, a robust test to check the shift in variance under possible shift
in mean. This approach may help to address the multiplicity issue. Another potential direction left for further studies is to investigate
adaptive/dynamic joint monitoring schemes when no prior knowledge about the nature and magnitude of process shifts is available.
The attention here was focused on the problem of simultaneously monitoring the two parameters of a normal process. Nevertheless,
in various applications, such as monitoring consumer satisfaction, service quality, or duration of the contact labour strikes, the data are
often non-normal. Therefore, more investigations on the effective designing of joint monitoring schemes under Case-U when the
underlying process distribution is non-normal are highly warranted.

Acknowledgements
The authors are grateful to the anonymous reviewer for providing helpful suggestions and comments for revising this paper. The
work described in this paper was supported by grants from National Natural Science Foundation of China (No. 71371163 and No.
70872091). This work was also funded by MOE (Ministry of Education in China) Project of Humanities and Social Sciences (No.
13YJA630078) and City University of Hong Kong (No. 9380058).

Appendix 1: Markov chain approach for deriving the run-length characteristics

Note that conditionally on X and S2X , the proposed scheme is a standard one-sided CUSUM chart for continuous observations whose
run-length distribution can be traced by Markov chain theory by artificial discretization of the support of C ’j s, that is the interval [0, H].
Suppose, the interval [0, H] is portioned into c subintervals of equal length, say s, where c is a very large positive integer. Further,
h i
assume that the probability density within the lth interval ðl1c ÞH ; lHc for l = 1, 2, … c, is concentrated as a probability mass at ðl0:5c
ÞH
.
n o
ð2c1ÞH
Then, it is legitimate to consider that when the process is IC, the possible values of Cj are given by 0; 2c H
; 3H
2c ; … ; 2c . Let us
adopt the simplified notation scheme of Mukherjee et al.37 and label these transient states as {1, 2, … , c + 1}. Define pij as the
one-step transition probability from state i to state j, and thus given Ū0 and S2U0 , it is easy to see that
  
(i) p11 ¼ P C k ¼ 0C k1 ¼ 0; U0 ; S2U0 ,
  

(ii) pi1 ¼ P C k ¼ 0ði2c ÞH < C k1 < ði1c ÞH ; U0 ; S2U0 for i = 2, 3, …, c + 1,
  
(iii) p1j ¼ P ðj2c ÞH < C k < ðj1c ÞH C k1 ¼ 0; U0 ; S2U0 for j = 2, 3, …, c + 1,
  

(iv) pij ¼ P ðj2c ÞH < C k < ðj1c ÞH ði2c ÞH < C k1 < ði1c ÞH ; U0 ; S2U0 for i = 2, 3, …, c + 1, and for j = 2, 3, …, c + 1.
Using an almost accurate approximation provided by equation (6.51) of Hawkins and Olwell38 we have the following:
(i) p11 = F(k),
(ii) pi1 = [F(is + 2s + k) + 4F(is + 1.5s + k) + F(is + s + k)]/6 for i = 2, 3, …, c + 1,
(iii) p1j = F(js  s + k)  F(js  2s + k) for j = 2, 3, …, c + 1,
(iv) pij = [F(js  is + s + k) + 4F(js  is + 0.5s + k)  4F(js  is  0.5s + k)  F(js  is  s + k)]/6 for i = 2, 3, …, c + 1, and for j = 2, 3, …, c + 1.
where F stands for the conditional cumulative probability density of the centred modified max (Ψ Ψ μm;n Þ or distance (Δ  Δμm;n )
statistic given Ū0 and S2U0 . The conditional cdf of Ψ and Δ can be derived with the joint distribution of W 1 and W 2 given in
Section 2.1. The conditional cdf of Ψ is as follows:

( " rffiffiffiffi rffiffiffiffiffiffiffiffiffiffiffiffiffi rffiffiffiffi !# " rffiffiffiffi rffiffiffiffiffiffiffiffiffiffiffiffiffi rffiffiffiffi !#)

pffiffi N V U0 n pffiffi N V U0 n
FðgjZ U0 ; V U0 Þ ¼ Φ τ b þ ZU þ δ Φ τ h þ ZU þ δ
m m1 m 0 m m1 m 0
   
ðn  1Þ ð n  1Þ
 Fχ 2 dτV U0  F χ 2 eτV U0 :
ðn1Þ ðm  1Þ ðn1Þ ðm  1Þ

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,
 C. LI ET AL.

where b ¼ ζ 1 1 1 1
m1 ðΦðgÞÞ, h ¼ ζ m1 ðΦðgÞÞ, d ¼ F n1;m1 ðΦðgÞÞ, e ¼ F n1;m1 ðΦðgÞÞ; δ and τ are as defined before, and the conditional
cdf of Δ is expressed as,
pffiffiffiffiffiffiffiffiffi
2 2
∞ g v 2

FðgjZ U0 ; V U0 Þ ¼ ∫
∞
∫ f W 1 ;W 2 ðv1 ; v2 jZ U0 ; V U0 Þdv1 dv2 :
pffiffiffiffiffiffiffiffiffi
g v 2
2 2


where f W 1 ;W 2 ðv 1 ; v 2 jZ U0 ; V U0 Þ is the conditional joint pdf of W 1 ; W 2 , which can be obtained by differentiating the conditional joint cdf
F W 1 ;W 2 ðv 1 ; v 2 jZ U0 ; V U0 Þ.
Using pij as the elements, the transition matrix T with a size of (c + 1) × (c + 1) can be established. Now defining Ni as the run-length
n o
ð2c1ÞH
variable with a starting value C0 = s, where sϵ 0; 2c H
; 3H
2c ; … ; 2c and μ̃i = E(Ni|ZU0, VU0) as the conditional ARL for i = 1, 2, …, c + 1,
we have, from the properties of Markov chains,
 →
~¼ μ
μ ~1 ; μ ~ cþ1 ’ ¼ ðI  T Þ1 1 :
~ 2 ; …; μ
→
where I is an identity matrix and 1 is a vector with all elements equal to one. Thus, the unconditional ARL is given by integrating this
over the joint probability distribution of Ū0 and S2U0 , as follows
∞∞ ∞∞

~ 1
μ ¼ ∫ ∫ EðN1 jzU ; vU ÞdF Z
0 0 U0
ðzU0 ÞdF V U0 ðv U0 Þ ¼ ∫ ∫ μ~1 ϕðzU Þf χ
0 2 ðv U0 Þdz U0 dv U0 :
0 ∞ 0 ∞ ðm1Þ

The expressions for other run-length distribution characteristics, such as the SDRL and the percentiles, can be derived similarly
using properties and results of Markov chains.

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Authors' biographies
Chenglong Li is currently a joint PhD candidate in the School of Management, Xi’an Jiaotong University, China, and in the
Department of Systems Engineering and Engineering Management, City University of Hong Kong, Hong Kong. His research interests
are mainly on statistical quality control.
Dr. Amitava Mukherjee is an associate professor in the production, operations and decision sciences area of XLRI Jamshedpur,
School of Management, the oldest business school in India. He is a life member of International Indian Statistical Association, Indian
Science Congress Association, and Calcutta Statistical Association and a member of American Mathematical Society. Dr Mukherjee has
published a number of research areas including sequential analysis, nonparametric inference, statistical process control, and
geostatistics. His current research interests include applied sequential methodology, nonparametric hypothesis testing, and statistical
process control.
Qin Su is a professor and the Vice Dean of the School of Management, Xi’an Jiaotong University, China. She received her PhD from
Xi’an Jiaotong University in 1993. Professor Su is a member of China Association for Quality and a senior member of Chinese
Mechanical Engineering Society. Her research interests include quality management, supply chain management, and industrial
engineering.
Min Xie is currently the Chair Professor of Industrial Engineering at City University of Hong Kong, Hong Kong. He received his PhD
from Linkoping University in Sweden in 1987, specialising in quality and reliability. Since then, he has been active in quality and
reliability research and published numerous papers in this area. He has also authored several books. Professor Xie is a Fellow of IEEE
and an elected member of International Statistical Institute.

Copyright © 2016 John Wiley & Sons, Ltd. Qual. Reliab. Engng. Int. 2016,