American Society for Quality

Control Chart Tests Based on Geometric Moving Averages

Author(s): S. W. Roberts
Source: Technometrics, Vol. 42, No. 1, Special 40th Anniversary Issue (Feb., 2000), pp. 97-101
Published by: American Statistical Association and American Society for Quality
Stable URL: http://www.jstor.org/stable/1271439 .
Accessed: 21/06/2014 14:05

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at .
http://www.jstor.org/page/info/about/policies/terms.jsp

.
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of
content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms
of scholarship. For more information about JSTOR, please contact support@jstor.org.

American Statistical Association and American Society for Quality are collaborating with JSTOR to digitize,
preserve and extend access to Technometrics.

http://www.jstor.org

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions
ControlChartTestsBased on Geometric
MovingAverages
S. W. ROBERTS
Bell Telephone Laboratories
(Retired1987)

A geometricalmovingaveragegives themostrecentobservationthegreatestweight,and all pre-

vious observationsweightsdecreasingin geometricprogressionfromthe mostrecentback to the
first.A graphicalprocedureforgeneratinggeometricmovingaveragesis describedin whichthe
most recentobservationis assigned a weightr. The propertiesof controlcharttestsbased on
geometricmovingaveragesare comparedto testsbased on ordinarymovingaverages.

1. INTRODUCTION averagesin thispaper,whilethetermmovingaveragewith-

An X controlchartpresentsa graphicalsummaryof in- out theadjective"geometric"refersto theordinarymoving
formation collectedforthepurposeof providingcontinuing average in which k consecutivepointsare assignedequal
information on thefunctioning of a process.This informa- weightsof 1/k.In computinga geometricmovingaverage
tion is usefulin indicatingthe existence,and in some in- the mostrecentpointis assigneda weightof r,0 < r < 1,
stancesthecauses,of conditionsrequiring correctiveaction. and everyotherpointis assigneda fraction(1 - r) of the
A centralline is drawnon thecontrolchartto represent the weightof its immediatesuccessor.
level at whichtheprocessoperatesin theabsence of trou- This paperoutlinesa procedureforgenerating geometric
ble, and limitlines are placed at prescribeddistancesabove movingaverages,and comparesthe propertiesof control
and below thiscentralline. The presenceof troubleis in- charttestsbased on such averageswithtestsbased on or-
dicatedif thepointXj, representing theaverageof several dinarymovingaverages.
measurements takenat timej (j = 1,2, 3,...), fallsoutside 2. GENERATING
GEOMETRIC MOVINGAVERAGES
eitherof thelimitlines.(Symbolssuchas Xj areused to de-
Let Zj denotethe geometricmovingaverage at timej
notebotha pointand its scale value). In practice,corrective
actionis sometimestakenwhena runof pointsoccursthat (j = 0, 1,2,3,...). It is convenientto set Zo = /o, where
is highlyimprobablein the absence of trouble,thoughno tIo is theordinateof thecentralline of controlchart.Thus,
singlepointfallsoutsidethelimitlines;forexample,a run Zo I/o,
of seven consecutivepointson one side of thecentralline
is sometimestakenas an indicationthattroubleis present. j = (1-r)Zj_ +rXj3 j>0. (1)
In a recentpaper concernedprimarilywiththe proper-
The pointZj is located a fractionr of the distancefrom
ties of run tests in detectingshiftsin a process average,
to Xj on theirconnectingstraight line.
(1) thewriterindicatedthattestsbased on movingaverages Zj_1 To exhibitthegeometricprogression of weightsassigned
shouldbe moreefficient thanruntestsin makinguse of the
to theX's, (1) can be writtenas
information suppliedby controlchartpoints.A graphical
- -
procedurewas outlinedforgeneratingpointsrepresenting Zj =- (1 r)i)o + r(1 r)-X1 + r(1 - r)3-X2
of
movingaverages 2, 4, 8 or 2' consecutivepoints.The
procedurewas based on the fact thatthe point half-way + ..+ r(1-r)Xj_ +rXj, j > 0. (2)
betweentwo pointson theirconnectingstraightline repre- terms,thisbecomes
Rearranging
sentstheiraveragevalue. For example,pointsrepresenting
theaverageof eightX's are obtainedfrompointsrepresent- (Zj - po) = r(1 - r)J-l(X1 - o) + r(1 - r) 2(X2 - ,o)
ing two sets of fourX's, whichin turnare obtainedfrom
pointsrepresenting pairs of X's. The necessityof generat- + ..+ r(1 - r)(Xj_1- o) + r(X -/0o), j > 0, (3)
ing the auxiliarypointsrepresenting fourand two X's is andclearlytheexpectedvalueof Zj is /o whentheexpected
a disadvantage;such pointscould be incorporated intothe values of the X's are all equal to puo.Then,if the X's are
testingprocedureby drawinglimitlines forthembut it is independent and have a commonstandarddeviationcr, the
questionablewhetherthe improvement in statisticalprop- standarddeviationof Zj is
ertieswouldjustifytheadded complexity.
J.W. Tukeysuggestedto thewriteran alternative graph-
ical procedurethatrequiresno auxiliarypointsforgener- 2-r [1(1r)2 (4)
atinga typeof movingaveragein whichtheentirehistory
of X's is assigned weights,withweightsdecreasingas a
? 1959 AmericanStatisticalAssociation
geometricprogressionfromthe mostrecentpointback to and the AmericanSocietyforQuality
thefirst.Such movingaveragesare called geometricmoving TECHNOMETRICS, FEBRUARY 2000, VOL. 42, NO. 1

97

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions
98 S. W. ROBERTS

whichincreasesto its limitingvalue assume thatthe end resultis a sequence of decisions on

whetheror not to take action.An evaluationof the effec-
aZ = r/(2-r)ax (5) tivenessof varioustestsmustcenterattention on therelative
as j increases. frequenciesof twotypesof decisionerrors,withtheiratten-
To generatethe Z's, proceedas follows: danteconomicconsequences.In discussingthetwotypesof
decisionerrorsit is convenientto adopttheterminology of
1. Mark pointX1 at abscissa 1.
hypothesistestingand definea null hypothesis;thenerro-
2. Mark Zo = -o at abscissa 1- 1/r. neous rejectionsand acceptancesof thenullhypothesisare
3. Draw a straight line connectingZo withX1; thepoint called,
respectively, Type 1 and Type 2 errors.
on thisline withabscissa 1 - (1 - r)/r is Z1. It is assumedthatat any timethereis a processaverage
The next point,Z2, will be at abscissa 2 - (1 - r)/r on u = to- + 6, where[tois thenominalprocessaverageand 6,
thestraight line connectingZ1 withX2, whichis plottedat whichis measuredin thesame unitsas 0to, is thedifference
abscissa 2. Both theX's and the Z's progressone abscissa betweenthecurrentprocessaverageand its nominalvalue.
unitat a time;Zj is always (1 - r)/r abscissa unitsto the In theabsence of trouble6 = 0.
leftof Xj. The testingprocedureconsistsof periodicallytestingthe
Figure 1 illustrates the procedurefor the case where null hypothesisthatp = /o, or,equivalently, that6 = 0. A
r - 2, which is a value of r thatmay have wide appeal rejection of the null hypothesiswhen it is "true" is a Type
5
in practice.For one thing,withr = 2 theZ's fall on verti- 1 error;suchan errorresultsin wastedeffort of lookingfor
cal lines drawnhalf-waybetweenverticallines of theX's, nonexistent trouble.An acceptanceof the null hypothesis
thusminimizing confusionbetweenthetwotypesof points. when it is nottrueis a Type2 error;thecostof suchan error
Also, with r -= 2, z = ax/2 so that, as shown in Figure must be expressedin termsof therelativelypoor qualityof
1, 3o limitlines forthe Z's are halfas farfromthecentral output from timej to timej + 1, whenthenullhypothesis
line as 3o limitlines fortheX's. is next tested.
Limitlines forthe Z's shouldbe based on az; i.e., place The over-allaveragequalityof the productdependson
limitlines at p0 ? 30z. In generalit wouldn'tpay to widen the way theprocessaveragevarieswithtime,as affected by
thelimitswithincreasingj usingequation(4). occurrences of troubleand by attemptsto keep theprocess
The sequenceof Z's maybe startedat anytimej simply freeof trouble.A simplifying conceptis thatthe process
be settingZj-_ = -o and followingtheprocedureoutlined averageremainsat itsnominalleveluntiltroubleshiftsit to
above. An errorE in Zj_- manifestsitselfas an errorE(1- a new level whereit remainsuntilthetroubleis eliminated.
r)k in Zj-l+k- Let the randomvariabley be the numberof pointsfol-
lowingtheoccurrenceof troubleuntilthedecisionis made
3. PROCESS MODEL thattroubleis present.A sequenceof y- 1 consecutiveType
One way of comparingcontrolchartproceduresis to 2 errorsis made.The distribution functionof y dependsnot
onlyon the amount6 of the shiftbut also on the standard
1015 /4o+ 3.X -- _PPER LIMIT FOR S__' _
deviationof X. For thisreason A = 6/ox is used, rather
than6, as a measureof theamountof the shift.
For mostpracticalpurposesthedistribution function of y
XX,
is adequatelysummarizedby itsexpected,or average,value
E(y). Curvesof E(y) versusA arepresentedin Figures2-5
I010

3 UPPER LIMIT FOR Z'S to describetheeffectiveness of particulartestsin detecting

tUo' 2 (TK
shiftsin a process average.The testnotationis definedin
1005 Section4.
Since Xj is theaverageof n measurements takenat time
j, theassumptionis madethatitsdistribution is normalwith
bi
Iz
average p =- po + 6 and standarddeviationoa = a'//n,
tS -0 ? -I ? I
2
s3
4 TIME -- where a' is the standarddeviationof the individualmea-
surementsand is assumed to be knownfrompast expe-
I \x-,
rience and not subject to change. In consideringa curve
995 i X of E(y) versus A for a particularapplication,note that
3
A = avn/a'; thus,while the curves are independentof
samplesize n, thevalue of A applicablein a particularsit-
990 -
uation dependson n.
For a particularvalue of A, the corresponding value of
i I E(y)- 1 is the expectednumberof consecutiveType 2
l
errorsmade followinga shiftof the magnitudeassociated
-- - - -
985 /Uo-30
a / x CONSTANTS: AO= 1000
.

a'= 1 = 4 with A. The value of E(y) at A = 0 is a measureof thefre-

0r=5 r=2/s 0o=2.5 quencyof Type 1 errors.For example,the top (forcentral
values of A) curvesin Figures2-5 pertainto the standard
Figure 1. GeneratingGeometricMovingAverages. controlcharttestwith3- limits,and on these top curves
TECHNOMETRICS, FEBRUARY 2000, VOL. 42, NO. 1

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions
 CONTROL CHART TESTS 99

ing 25,000 randomnormalnumbers.Sets of eight num-

bers were used to representthe process priorto the oc-
currenceof trouble;if the statisticscomputedwiththese
eight numbersfell withintheirlimits,an amountA was
added to subsequentnumbersand a countwas made of the
numbery of such numbersuntila statisticfell outsideits
limit.The averagevalue of y forall such cycles (roughly
25,000/(E(y) + 8) in number)servesas an estimateof E(y)
for the particulartest and A considered.Such estimates,
otherthan at A = 0, fall on or veryclose to the curves
shown.The estimatesat A = 0 were adjustedto be consis-
tentamongthemselvesand withcomputedlowerbounds.
While the curves of Figures 2-5 affordroughcompar-
isons of the statisticalpropertiesof various tests under
theconditionsassumed,moreusefulcomparisonscould be
made if thelimitlines were set so thatthetestshad a com-
mon level of Type 1 errors.Such a comparisonapplied to
themovingaveragetestsof Figure2 would showthateach
such testhas its curve lower thanthe othersin a particu-
lar intervalof A, and theseintervalsapproachA = 0 for
increasingk; consequently, it would be well to neglectthe
historypriorto the most recentcontrolchartpointsin
k
applicationswhereinterestis in A greaterthana particular
value Ak, whichdependson k.
Withgeometricmovingaveragetests,the entirehistory
of pointsis givensome weight;by consideringonlythe k
mostrecentpointssome improvement could be effectedin

0l00i
Figure2. MovingAverage Tests,Mk.
fUU

the value of E(y) at A = 0 is roughly370; this means 500 j

thatwhen the process average is at its nominallevel, ,uo,
-I
an averageof 370 pointscan be expectedbetweensucces- 300X\
sive Type I errorswhen using the standardcontrolchart .1
test. 200 \
-
1) \ \_
4. CURVES OF E(y) VERSUS A
100 t \
Let Mk denote the test thatprescribesrejectionof the
null hypothesisat timej if the movingaverageof k con- 7070 t\\\ \

secutiveX's falls outsidelimitlines at ,to? 3ua/vx/. (If 50

limitsotherthan3o limitsare used fora statistic,thenota-
tionwill be supplemented to indicatethefactorused-e.g., 30
testsMk (2) employ2a limits:j0o? 2ux_/k.)Let Ml,k de-
20
note a combinationof this test with the standardcontrol
charttest,whichprescribesrejectionof thenullhypothesis
if Xj fallsoutsidelimitlines at po ? 3ax. Similarly,let Gr 10
denotethe testprescribingrejectionof the null hypothesis
if the geometricmovingaveragewithweightparameterr 2O
7

fallsoutsidelimitlines at po?3v/r/(2 - r)ax, and let Glr 5

denotesuch a testin combinationwiththestandardcontrol
charttest.Figures2 through5 presentcurvesof E(y) versus 3

A forthesetestsforvariousvalues of the weightparame-

ters.Note in each case thatwhenthe weightparametersr LIMIT LINES FOR MOVING AVERAGES: 3
..3/WMT |
or k are giventheirlimitingvalue, 1, thetestbecomes the LIMIT LINES FOR 3'S: o:l:30

standardcontrolcharttest;comparisonswiththe standard 0
I i
1.0
I I
3.0
i
0.5 1.5 2.0 2.5 3.5
testare therebyfacilitated.
The curves are based largelyon estimatesof E(y) at
A = 0(.5) 3.5 based on resultsof process simulationsus- Figure3. 3 MovingAverage Tests,Ml,k.

TECHNOMETRICS, FEBRUARY 2000, VOL. 42, NO. 1

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions
100 S. W. ROBERTS

IWUM I less than985) or (2) Z is greaterthan1007.5(orless than

[uV 992.5).ThetopcurveofFigure5 indicates thatan average
ofabout44X's willbe plotted beforeoneofthemis greater
than1015 (or less than985) whenA = 1. Sincethetop
0VV,

300 '\
curvepertains to thestandard controlcharttest,it appears
thattestG1,2/5 willsavean averageofabout44 - 14 = 30
200 hoursindetecting a shift
offiveohmsintheprocessaverage
E(6 ) \
in theexampleusedhere.
\
On theotherhand,Figure5 showsthatE(y) is about250
at A - 0 fortestG1,2/5, as compared withabout370 for
thestandard control charttest(topcurve).UsingtestG1,2/5,
100-
50 \ then,whentheprocessremains trouble-free
an averageof
250 hourswill pass betweenfalseindications of trouble
(Type 1 as
errors) compared with370 hours forthe standard
control charttest.
Becausetheordinate scalesarelogarithmic inFigures2-
5 itis difficult
toappreciate thesavingsinE(y) forthevari-
oustestsas compared tothestandard controlcharttest.The
topcurvein Figure6 showsroughly thesavingsafforded
usingeitherMs(2.95)or G1/4(2.95), withlimitlinessetso
thatthesetestshaveapproximately thesamefrequency of
Type1 errorsas thestandard controlcharttest.Clearly,
theimportant savingsoccurforrelatively smallshifts,say
2 A| < 2,andthelossatlargevaluesofA is relatively small.
LIMIT LINES ATMl?3/r/(2-r) aX
ThecurveofFigure6 called"RunTest"is fora testthat
prescribes rejectionof the null hypothesis if (1) a sin-
l
0 0.5 1.0 1.5 2.0 2.5 3.0 3.5

Ivvv-

Figure4. 4 GeometricMovingAverage Tests,Gr.

7nn
?vv

detectingchangesgreater thana criticalvaluedetermined wVV

byk. However, themoreremotehistory is givenrelatively

littleweight,
andhascorrespondingly littleinfluence
ontest 300

In fact,it appearsthatgivenanymovingaver-
properties. 200
age testa geometric movingaveragetestcan be selected
\

thathas roughly equivalentproperties;therequirement for E(q \\

roughequivalence appearsto be thatthea's be equal,i.e., 100 I\

thatr = 2/(k+ 1). The choicebetweentwotestshaving

70 \
similarstatistical mustbe basedlargelyon their
properties
relativeoperational intheapplication
simplicity undercon- 50-

sideration.
To illustrate
theuse of thecurves,considera resistor 30

manufacturing processin whichat theend of each hour 20\

fourresistors
aremeasured andtheaverageofthemeasure-
mentsis plottedon an X control
chart.Supposeexperience rI/4 /2 \

indicatesthatu0= 1000ohmsanda' = 10 ohms. 10-

For testG1,2/5the limitlines forthe X's are at 1000 ? 7

3 x 10//4 ohms,or at 985 and 1015,and thelimitlines 5
fortheZ's are at 992.5 and 1007.5(See Figure1). Now
supposesomething happensto shifttheprocessaverageto 3-
1005ohms.Howlongwillitbe,on theaverage, beforethis
shiftis detected? 2
LIMIT LINES FOR E*S:, *t 3'2-r) -r
ComputeA = (1005-1000)/5= 1,andlookatFigure5. LIMIT LINES FOR R'S:/.*?30'7
Thereis no curveforr = 2, butan interpolationbetween I I I I t
values for r- 1 and r = 1 indicatesthat v lWl&
0. 1.0
E(y) is about
n Ir A......,. 1.5 2.0 2.5 3.0.. 3.5

14.Thus,an averageofabout14 pairsofX's andZ's will

be plottedbeforeeither(1) an X is greater
than1015(or Figure5. 5 GeometricMovingAverage Tests,Gi,r.

TECHNOMETRICS, FEBRUARY 2000, VOL. 42, NO. 1

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions
 CONTROL CHART TESTS 101

standard controlcharttest.In general,as interest centers

on earlydetection of smallerandsmallerchanges, theap-
propriate r of
parameter geometric movingaveragetests
decreasesfromunityto smallerandsmallervalues,andthe
number k of consecutive pointsconsidered in movingav-
erage testsandmultiple runtestsincreases.
The complexity of geometric movingaveragetestsrela-
tivetothestandard control charttestmakesitsusedifficult
tojustify inmanycases.In othercasestheaddedsensitivity
torelatively smallchangesintheprocessis adequatejustifi-
cation.In stillothercasesthecostoftheaddedcomplexity
is morethancoveredbya reduction in sampling costs.For
example, in someapplications a geometric moving average
POINT OUTSIDE 3.130 LIMITS
MULTIPLE R testusedon a chartwheretheaveragesormedians of three
Z TEST OR 10 CONSECUTIVE POINTS
"- -
^\ \ C ON ONE SIDE OF CENTRAL LINE measurements are plottedwillbe moreeffective thanthe
U
u
z standard controlcharttestbasedon theaveragesof four
c: measurements.
Samplesizeandfrequency ofsampling havebeenlargely
eliminated fromthediscussion, sinceinterest hasbeenpri-
50
marily on makingefficient use oftheinformation supplied
by thecontrolchartpoints.The preceding paragraph pro-
videsan exampleof theimportance of considering these
variables whenselecting testsforparticular applications.
Geometric movingaveragetestswouldseemto be par-
ticularly well suitedto applications wheretestsbasedon
ordinary movingaverages are now used, including cases
0 wherethesamplesize is unity.
0 O.5 1.0 1.5 2.0 2.5 3.0 Whilethispaperhasbeenconcerned specificallywithX
control charts, muchofitcouldbe rewritten wordforword
Figure 6. ApproximateDifferencesBetween E(y) of VariousTests
to applytocontrol chartsofothersamplestatistics bysim-
and E(y) of the Standard ControlChart Test;Arithmetic Scale. the
plyreplacing symbol "X" and the corresponding term
with
"average" appropriate substitutes. the
Certainly partic-
gle X fallsoutsidelimitlinesat Ito? 3.13ac or (2) ten ularweightpatterns appliedto thehistory ofpointson an
consecutive X's fallon one sideof thecentrallineof the X control chartinobtaining ordinary moving averagesand
controlchart.The curverepresents roughly what can be geometric moving averages can just as readily andmean-
achievedusingmultipleruntests-use of additional run ingfully be appliedto thepointson control chartsof such
criteriawouldraisethecurvein somerangesof A and usefulsamplestatistics as themaximum, median, minimum
loweritinothers, provided thelimit lines were set to and range. The curves of E(y) versus A are generally ap-
yield
thesamefrequency ofType1 errors as thestandard control plicableif allowancesare madeforthenon-normality of
charttestso thatthecurvewouldgo through theoriginof thedistributions ofthesamplestatistics-curves pertaining
Figure6. totestswhichapplyweights to severalcontrol chartpoints
areaffected verylittlebynon-normality.
5. CONCLUSION It thusappearsthatthegraphical procedure forapply-
Testsbasedongeometric moving averagescompare most ing geometric weight patterns may prove useful in a wide
favorably withmultiple runtestsandmovingaveragetests variety ofapplications.
withregard tosimplicity andstatistical properties. Thestan-
dardcontrol charttestis simpler thanalternative testsand
cannotbe improved onindetecting relatively largechanges. REFERENCE
In facttheparameters thatwouldbe chosenfortheother Roberts,S. W.
(1958), "Propertiesof ControlChartZone Tests,"Bell Sys-
testsin suchapplications wouldreducesuchteststo the temTechnicalJournal,37, 83-114.

TECHNOMETRICS, FEBRUARY 2000, VOL. 42, NO. 1

This content downloaded from 185.44.77.28 on Sat, 21 Jun 2014 14:05:07 PM

All use subject to JSTOR Terms and Conditions