CUSUM Charts for Monitoring the Process Mean

The CUSUM chart directly incorporates all information in the sequence of sample values by
plotting the cumulative sums of the deviations of the sample values from a target value. For example,
suppose samples of size 𝑛 ≥ 1 are collected, and 𝑥̅𝑗 is the average of the 𝑗𝑡ℎ sample. Then if μ0 is the
target for the process mean, the cumulative sum control chart is formed by plotting
𝑖

𝐶𝑖 = ∑(𝑥̅𝑗 − μ0 )
𝑗=1

Against sample 𝑖. The 𝐶𝑖 is called the CUSUM up to and including the 𝑖𝑡ℎ sample. Because they combine
information several samples CUSUM charts are more effective than Shewhart charts for detecting small
process shifts. They are particularly effective for samples of size 𝑛 = 1.

The procedure for constructing the CUSUM chart uses the tabular or algorithmic representation
of the CUSUM. Let 𝑥𝑖 be the 𝑖𝑡ℎ observation on the process. When the process is in control, 𝑥𝑖 has a
normal distribution with mean μ and standard deviation σ. We assume σ is known or a reliable estimate
is available. The parameter μ0 is often thought of as a target value for the quality characteristic 𝑥.

The tabular CUSUM works by accumulating deviations from μ0 that are above target with one
statistic 𝐶 + and accumulating deviations from μ0 that are below target with another statistic 𝐶 − . The 𝐶 +
and 𝐶 − are called one-sided CUSUMS:

𝐶𝑖+ = 𝑚𝑎𝑥[0, 𝑥𝑖 − (μ0 + 𝑘) + 𝐶𝑖−1

+ ]

𝐶𝑖− = 𝑚𝑎𝑥[0, (μ0 + 𝑘) − 𝑥_𝑖 + 𝐶𝑖−1

− ]

Where starting values are 𝐶0+ = 𝐶0− = 0

In the formulas for 𝐶𝑖+ and 𝐶𝑖− , the 𝑘 is called the reference value (or allowance or slack value),
and is often chosen halfway between the target μ0 and out-of-control value μ1 that we are interested in
1 1
detecting quickly. Thus, if the shift is μ1 = μ0 + δσ, then 𝑘 = |μ1 − μ0 | = δσ. If either 𝐶𝑖+ or 𝐶𝑖−
2 2
exceed the decision interval H, the process is considered out of control. A reasonable value of H is usually
5σ, where σ is the process standard deviation. The graphical display of CUSUMs is called CUSUM status
charts.

It may be helpful to have an estimate of the new process mean following a shift. This can be
computed by

𝐶𝑖+
μ0 + 𝑘 + + 𝑖𝑓 𝐶𝑖+ > 𝐻
μ̂ = { 𝑁
𝐶𝑖−
μ0 − 𝑘 − − 𝑖𝑓 𝐶𝑖− > 𝐻
𝑁
 Where 𝑁 + is a counter of records defined as the number of consecutive periods since the
upperside CUSUM 𝐶𝑖+ rose above the value of 0. Also 𝑁 − counts the number of consecutive times the
lowerside CUSUM 𝐶𝑖− rose above 0.

All sensitizing rules such as runs tests cannot be applied to the CUSUM because successive values
of 𝐶𝑖+ and 𝐶𝑖− are not independent.

Exponentially Weighted Moving Average Control Chart

The exponentially weighted moving average (EWMA) control chart is also useful for detecting
small shifts. It is typically used with individual observations (n=1).

The exponentially weighted moving average is defined as 𝑧𝑖 = λ𝑥𝑖 + (1 − λ)𝑧𝑖−1 where 0 < λ <
1 is a constant and the starting value (required at the first sample 𝑖 = 1) is the process target so that
𝑧0 = μ0 . Sometimes an average of preliminary data is used as starting value so that 𝑧0 = 𝑥̅ . If the
observations 𝑥𝑖 are independent random variables with common variance σ2 , then 𝑉(𝑧𝑖 ) = σ2𝑧𝑖 =
λ
σ2 ( ) (1 − (1 − λ)2𝑖 ).
2− λ

The EWMA chart is constructed as

λ
𝑈𝐶𝐿 = μ0 + 𝐿σ√( ) (1 − (1 − λ)2𝑖 )
2− λ

𝐶𝐿 = μ0

λ
𝐿𝐶𝐿 = μ0 − 𝐿σ√( ) (1 − (1 − λ)2𝑖 )
2− λ

In general, values of λ in the interval 0.05 ≤ λ ≤ 0.25 work well in practice, with λ =
0.05, 0.10, 0.20 being popular choices. A rule of the thumb is use smaller values of λ to detect smaller
shifts. The value for 𝐿 that has been formed to work well is 𝐿 = 3 for large values of λ, and 2.6 < 𝐿 <
2.8 for small λ, say λ < 0.1.

Like the CUSUM, the EWMA performs well for small shifts but does not react well to large shifts
as quickly as a Shewhart chart. A good way to further improve the sensitivity of the procedure without
sacrificing the ability to detect small shifts quickly is to combine a Shewhart control chart with EWMA.
These combined Shewhart – EWMA control procedures are effective against both large and small shifts.
When using such schemes, it is recommended to use wider control limits on the Shewhart charts ( say
𝐿 = 3.25 or 𝐿 = 3.5).
PS 4

#8.22, 8.24,8.32,8.34,8.35

PS 5

#9.7, 9.29

Through email December 20, 2017

CUSUM Chart of Temperature Readings

75

UCL=60.8
50
Cumulative Sum

25

0 0

-25

-50
LCL=-60.8

1 9 17 25 33 41 49 57 65 73
Sample
An estimated historical parameter is used in the calculations.
 EWMA Chart of Temperature Readings
960
UCL=958.37
+2.7SL=957.53

955

__
EWMA

950 X=950

945

-2.7SL=942.47
LCL=941.63
940
1 9 17 25 33 41 49 57 65 73
Sample
At least one estimated historical parameter is used in the calculations.