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The Design and Performance of the Multivariate Synthetic-T
2
Control
Chart
Francisco Aparisi
a
; Marco A. de Luna
b
a
Departamento de Estadística e Investigación Operativa Aplicadas y Calidad, Universidad Politécnica
de Valencia, Valencia, España
b
Departamento de Ingeniería Industrial y Mecánica, ITESM,
Guadalajara, México
To cite this Article Aparisi, Francisco and de Luna, Marco A.(2009) 'The Design and Performance of the Multivariate
Synthetic-T
2
Control Chart', Communications in Statistics - Theory and Methods, 38: 2, 173 — 192
To link to this Article: DOI: 10.1080/03610920802178413
URL: http://dx.doi.org/10.1080/03610920802178413
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Communications in Statistics—Theory and Methods, 38: 173–192, 2009
Copyright © Taylor & Francis Group, LLC
ISSN: 0361-0926 print/1532-415X online
DOI: 10.1080/03610920802178413
The Design and Performance of the Multivariate
Synthetic-T
2
Control Chart
FRANCISCO APARISI
1
AND MARCO A. DE LUNA
2
1
Departamento de Estadística e Investigación Operativa Aplicadas y
Calidad, Universidad Politécnica de Valencia, Valencia, España
2
Departamento de Ingeniería Industrial y Mecánica, ITESM,
Guadalajara, México
One of the objectives of research in statistical process control is to obtain control
charts that show few false alarms but, at the same time, are able to detect quickly the
shifts in the distribution of the quality variables employed to monitor a productive
process. In this article, the synthetic-T
2
control chart is developed, which consists
of the simultaneous use of a CRL chart and a Hotelling’s T
2
control chart. The
ARL is calculated employing Markov chains for steady and zero-state scenarios.
A procedure of optimization has been developed to obtain the optimum parameters
of the synthetic-T
2
, for zero and steady cases, given the values of in-control ARL
and magnitude of shift which needs to be detected rapidly. A comparison between
(standard T
2
, MEWMA, T
2
with variable sample size, and T
2
with double sampling)
charts reveals that the synthetic-T
2
chart always performs better than the standard
T
2
chart. The comparison with the remaining charts demonstrate in which cases the
performance of this new chart makes it interesting to employ in real applications.
Keywords ARL; Multivariate; Quality control; SPC; Synthetic.
Mathematics Subject Classification 62P30.
1. Introduction
Statistical quality control has the objective of detecting shifts in the distribution of
the monitored quality variables. In the majority of production processes the possible
spontaneous changes in this distribution will worsen the quality of the product
manufactured. Therefore, the quick detection of these shifts is very important to
maintain quality. The statistical process control (SPC) has shown itself to be a
powerful tool in achieving this objective.
It is possible to employ two strategies when it is desired to control concurrently
¡ variables from one component or from a production process: to use simultaneously
Received August 21, 2007; Accepted May 2, 2008
Address correspondence to Francisco Aparisi, Departamento de Estadística e
Investigación Operativa Aplicadas y Calidad, Universidad Politécnica de Valencia, Valencia
46022, España; E-mail: faparisi@eio.upv.es
173
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174 Aparisi and de Luna
¡ univariate control charts or to employ only one multivariate control chart
(Montgomery, 2005). Over the years, much of research has been made in order
to design control charts capable of fast detection of small shifts in the process.
The problem is that the standard control charts (X in the univariate case and
Hotelling’s T
2
in the multivariate case) are not efficient at detecting small shifts.
The efficacy of a quality control chart is normally measured using the ARL (Average
Run Length), the average number of points in the chart until the first out-of-control
signal appears.
Many strategies have been proposed with the aim of improving the ARL values
when the process is out of control while keeping a desired ARL value when the
process is in control. From our point of view, the more efficient strategies are:
1. Cumulative sums, in the univariate case the CUSUM charts (Jones et al., 2004;
Luceno and Puig-Pey, 2000) and in the multivariate case the MCUSUM charts
(Khoo and Quah, 2002; Woodall and Ncube, 1985).
2. Exponentially weighted averages, the EWMA charts in the univariate case
(Knoth, 2005; Lucas and Saccucci, 1990) and MEWMA charts for the
multivariate case (Aparisi and García-Díaz, 2004; Lowry et al., 1992; Prabhu and
Runger, 1997).
3. Variable sample size (VSS) univariate charts (Costa, 1994; Costa and Rahim,
2001; Reynolds and Arnold, 2001) and VSS multivariate charts (Aparisi, 1996;
Aparisi and Haro, 2003).
4. Double sampling (DS) univariate charts (Daudin, 1992; He and Grigoryan, 2006)
and DS multivariate charts (Champ and Aparisi, 2006; He and Grigoryan, 2005).
5. Synthetic charts for the univariate case (Chen and Huang, 2005a; Wu and
Spedding, 2000).
The performance of the SPC has been improved employing simultaneously two
control charts. Examples of this strategy are: the Shewhart-CUSUM chart (Lucas,
1982), the Shewhart-EWMA chart (Klein, 1997), and the synthetic chart, which is a
Shewhart-CRL (conforming run length) chart. The synthetic-X chart was introduced
by Wu and Spedding (2000) as a control chart useful for detecting small shifts in
the mean of a process.
In this article, a procedure will be developed for finding the parameters of
the multivariate synthetic T-square chart, Ghute and Shirke (2008), that minimizes
the ARL for a given size of shift, given a desired in-control ARL, for the steady
and zero states. In addition, a comparison versus other multivariate control charts
is made. Section 2 shows a summary of multivariate SPC and the methodologies
which enable more efficient control charts to be obtained. In Sec. 3, the synthetic-T
2
chart is defined. The optimization of the parameters of this chart can be found in
Sec. 4. Section 5 shows the comparison between several multivariate control charts,
in order to find out in which cases the synthetic-T
2
chart shows better performance.
The conclusions can be found in Sec. 6.
2. Multivariate Quality Control
Multivariate quality control consists of monitoring in one chart ¡ variables of the
same production process or component. The first proposal to control possible shifts
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The Synthetic-T
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Control Chart 175
in the mean vector was Hotelling’s T
2
control chart (Hotelling, 1947) which consists
of plotting the values of the statistic T
2
i
,
T
2
i
= n

X
i

0

T
−1

0

X
i

0

. (1)
where n is the sample size, X
i
is the mean vector of the ¡ sample means,
0
is the
mean vector when the process is in control, and
0
is the in-control covariance
matrix. The distribution of the statistic T
2
i
, if the process is in an in-control state
and
0
and
0
are known, is a chi-square with ¡ degrees of freedom. Therefore, it
is easy to obtain the control limit (CL) fixing the probability of the Type I error, :.
Given the value of :, the control limit is CL = X
2.:
¡
.
As the points plotted in the Hotelling’s T
2
chart are independent, the in-control
ARL is given by ARL
0
=
1
:
. The performance of this chart to detect shifts
in the mean vector depends on the non centrality parameter z = nJ
2
, where
J is the Mahalanobis’ distance, J =

(
1

0
)
T

−1
0
(
1

0
), where
1
is the
out-of-control mean vector. The value of ARL when J = 0 is ARL(J = 0) =
1
1−[
(where [ is the probability of the Type II error) is easily calculated, knowing the
distribution of the T
2
i
statistic when the process is out of control, a non central
chi-square, T
2
≈ X
2
¡
(z = nJ
2
).
Commonly, the mean vector and the covariance matrix are estimated. Lowry
and Montgomery (1995) and Champ et al. (2005) presented guides for the design
of the T
2
control chart with estimated parameters. Vargas (2003) and Williams
et al. (2006) studied alternatives to estimate the covariance matrix for the case of
individual multivariate observations.
The T
2
chart has a poor performance to detect small shifts in the mean vector.
In this article, the use of a synthetic-T
2
control chart (Ghute and Shirke, 2008)
is proposed to reduce the values of ARL to detect process shifts computing the
ARL employing Markov chains. The analysis is done employing the zero-state and
steady-state approaches (Champ, 1992; Davis and Woodall, 2002; Zhang and Wu,
2005) and considering that
0
and
0
are known. Ghute and Shirke (2008) did not
show results for small shifts and the ARL is only computed for the zero-state case.
Davis and Woodall (2002) noted the importance of studying the synthetic charts for
the steady-state case. Subsequently, there will be a description of the multivariate
control charts that are going to be used in the comparison of performance shown
in Sec. 5.
2.1. Variable Sample Size T
2
Control Chart
Aparisi (1996) and Aparisi and Haro (2003) improved the sensibility of the T
2
chart
employing variable sample size (VSS). The strategy consists of determining the value
of a warning limit (n). The sample size at time i depends on the value of T
2
i−1
.
If T
2
i−1
≤ n, a sample of size n
1
at the time i is taken. Otherwise, if n - T
2
i−1
- CL
the sample size to be used is n
2
. When T
2
i
> X
2
¡.:
, the process is considered to be
out of control, otherwise, it is decided that only random causes are present in the
process. It is possible, for a given in-control ARL, to find the values of CL. n. n
1
,
and n
2
that minimizes the out-of-control ARL for a specified size of magnitude J,
considering the restrictions n
1
+n
2
≤ n
max
and a desired mean sample size, n
0
,
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176 Aparisi and de Luna
E(n) = n
0
. A software tool has been employed to find the optima parameters of this
chart, for comparison purposes.
2.2. MEWMA Control Chart
The multivariate EWMA control chart, MEWMA (Lowry et al., 1992), is a chart
where the plotted statistic takes into account the information from past samples.
The MEWMA control chart shows an out-of-control signal when the T
2
i
statistic
is larger than the control limit (h), selected to obtain a desired in-control ARL.
In order to compute the T
2
i
statistic it is necessary to employ a smoothing coefficient,
r (0 - r ≤ 1). The MEWMA vector is obtained through Z
i
= rX
i
+(1 −r)Z
i−1
and
the statistic to be plotted is given by T
2
i
= Z
T
i

−1
z
i
Z
i
, being

z
i
the covariance
matrix of Z
i
, where Z
0
=
0
. The exact covariance matrix of Z
i
is computed
according to

z
i
=
r|1−(1−r)
2i
]
2−r

.
It is a common practice to use the asymptotic approximation of the matrix

z
i
.
When r = 1, the resultant chart is the Hotelling’s control chart. If the value of r
is reduced the weight of the past samples is more important. Aparisi and García-
Díaz (2004) developed genetic algorithm based software which finds the parameters
r and h (for univariate and multivariate cases) that produces the minimum ARL for
a given size of shift and for a given in-control ARL.
2.3. Double Sampling T
2
Control Chart
The strategy of double sampling (DS) consists of taking two samples of sizes n
1
and n
2
from the process at the same time. With the statistical information obtained
in the first sample it is determined whether the process is in control, out of control,
or whether it is required to analyze the second sample, and combine it with the
first one in order to make a final analysis. Champ and Aparisi (2006) developed an
analytical method to obtain the ARL of the DS-T
2
chart and, employing genetic
algorithms, the parameters of the optimum DS-T
2
chart to detect a shift of given
magnitude are found.
There are five parameters to define the DS-T
2
chart: h, h
1
, n
1
, n
1
, and n
2
.
The T
2
i.1
statistic is computed only considering the first sample of size n
1
, employing
T
2
i.1
= n
1
(X
i.1

o
)
T

−1
(X
i.1

o
). If T
2
i.1
> h
1
, the process is deemed to be out of
control; if T
2
i.1
- n
1
, it is accepted that the process is in an in-control state. However,
if n
1
≤ T
2
i.1
- h
1
it is not possible to make a decision and the second sample of size
n
2
is studied. The two samples are combined employing X
i
=
1
n
1
+n
2
(n
1
X
i.1
+n
2
X
i.2
).
Hence, T
2
i
is calculated using the expression T
2
i
= (n
1
+n
2
)(X
i
−j
0
)
T

−1
(X
i
−j
0
).
If T
2
i
> h, it is decided that the process is out-of-control, otherwise the process is
deemed to be in an in-control state.
3. The Synthetic-T
2
Control Chart
The univariate synthetic chart was introduced by Wu and Spedding (2000) as an
alternative to improve the performance of the Shewhart control chart to detect
process shifts. It is the result of combining a Shewhart chart and CRL chart (a chart
originally designed to detect increments in the percentage of defective units). The
synthetic-X chart for the zero-state scenario shows better ARL values to detect
process shifts, for any shift magnitude, than the X control chart. In some cases,
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The Synthetic-T
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Control Chart 177
Figure 1. Sub-charts of the synthetic-T
2
control chart: T
2
sub-chart and CRL sub-chart.
especially for moderate and large shifts, the synthetic-X chart exhibits a better
performance than the EWMA control chart (Wu and Spedding, 2000).
The synthetic chart has been also applied to monitor the variability of a process
(Chen and Huang, 2005a,b, 2006; Costa and Rahim, 2006) and the percentage of
defective units of a process (Wu et al., 2001). With the objective of improving
the performance of the synthetic control charts, Chen and Huang (2005b) applied
variable sampling intervals (VSI) and Davis and Woodall (2002) improved the
performance of the synthetic-X control chart by adding the concept of side-sensitive.
The synthetic T
2
control chart (synthetic-T
2
) is a chart for monitoring
simultaneously two or more quality characteristics. It consists of two sub-charts:
a T
2
sub-chart and a CRL sub-chart. Figure 1 shows the concept of the synthetic-
T
2
chart. The T
2
sub-chart has a unique control limit, LCsynt. The CRL sub-chart
has a low control limit, L, L ≥ 1. The value of LCsynt is the criteria to classify a
sample as conforming or non conforming. The value of L is the criteria to decide if
the process is in control or out of control.
The CRL concept assumes that in t = 0 there is a point above the LCsynt limit
(a non conforming sample in t = 0). This characteristic, called head start, is very
important for the performance of the synthetic charts. When this assumption is
ruled out, the performance of synthetic charts worsens (Davis and Woodall, 2002).
For a synthetic-T
2
chart, unlike the T
2
control chart, T
2
i
> LCsxnt does not
mean that an out-of-control state has to be assumed, but the inspected sample
must be classified as non conforming. Only when the sample is classified as non
conforming and CRL ≤ L will the process be considered to be out of control.
Like the T
2
control chart, the synthetic-T
2
chart shows an out-of-control signal,
indicating that there probably is a shift in the process. However, this signal does
not inform us about the variable or variables that have produced the shift. Several
methods for the interpretation of the out-of-control signal of the T
2
control chart
have been developed. These methods can also be applied to the synthetic-T
2
chart
(Aparisi et al., 2006; Atienzas et al., 1998; Kourti and MacGregor, 2004; Mason
and Young, 1999; Mason et al., 1997). Applying these techniques to the synthetic-
T
2
chart the user may obtain a controlling procedure that, although it is not the
fastest in comparison versus other multivariate charts (see the comparison later),
may be more useful in a real application, due to the help provided in identifying the
variables that have shifted.
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178 Aparisi and de Luna
4. Optimization of the Parameters of the Synthetic-T
2
Chart
Two values of ARL are important for the design and performance of the synthetic-
T
2
chart, the in-control ARL [ARL
S−T
2 (J = 0)] and the out-of-control ARL
[ARL
S−T
2 (J = 0)]. The value of the in-control ARL is selected taking into account
the frequency of false alarms. The value of ARL
S−T
2 (J = 0) is important in order
to rapidly detect a shift in the mean vector of magnitude J.
4.1. Obtaining the ARL Values
When the ARL needs to be computed, two approaches are possible: zero state
and steady state (Champ, 1992; Zhang and Wu, 2005). The zero-state scenario
implies that the shift in the process occurred just before the first sample was taken.
The steady-state case means that the process was in an in-control state for a
long period, before the out-of-control situation happened. Wu and Spedding (2000)
showed the formulas to obtain the ARL value of the synthetic-X chart for the
zero-state case. Davis and Woodall (2002) found that the synthetic-X chart may
be modelled employing Markov chains, like a standard X chart with a run rule of
2 points of (L +1) outside control limits.
In a similar way, it is possible to obtain the ARL of the multivariate synthetic-
T
2
control chart (ARL
S−T
2 ) employing a Markov chain approach. The synthetic-T
2
chart may be modeled like a T
2
control chart with a run rule that consists of 2 points
of (L +1) outside the upper control limit; see the Appendix. This approach is also
useful for calculating the ARL for the zero-state case.
4.2. Optimization of the Synthetic-T
2
Control Chart
A software tool for Windows
®
has been developed in order to find the optima
parameters of the synthetic-T
2
control chart. The software tool is available upon
request from the authors. The output of this software tool is shown in Fig. 2.
Once the zero or steady state is selected, the optimization process finds the values
of L and LCsynt that minimizes the value of ARL
S−T
2 (J = 0) for a given shift
of magnitude J. sample size, and number of variables, taking into account the
restriction of the specified in-control ARL, ARL
S−T
2 (J = 0). The chart that fulfils
this design is considered to be optimum to detect a shift of size J in the mean vector.
As exposed in Fig. 2, the output from the software tool shows the improvement of
ARL against Hotelling’s T
2
control chart and it draws the ARL curves of T
2
and
synthetic-T
2
charts.
Figure 2 shows the solution for the problem ARL
S−T
2 (J = 0) = 200, ¡ = 3,
n = 4, J = 0.75, and steady state. The parameters of the optimum synthetic-T
2
chart are: LCsxnt = 9.163 and L = 9, with ARL
S−T
2 (J = 0.75) = 13.58. The out-of-
control ARL value for the standard T
2
chart is 20.41. Therefore, the reduction in
the value of ARL for a shift J = 0.75 employing the synthetic-T
2
chart is 33.5%.
5. Comparison Versus Other Multivariate Charts
5.1. Comparison Between Optimum Steady and Zero States Synthetic-T
2
Charts
A comparison of performance between the optimum design for the zero-state
synthetic-T
2
and the steady-state synthetic T
2
control charts has been carried out.
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The Synthetic-T
2
Control Chart 179
Figure 2. Main window of the in-house software tool used to find the optimum
synthetic-T
2
and synthetic-X control charts.
The optimum design of the synthetic-T
2
charts has been utilized in the comparison
for different cases of ARL
S−T
2 (J = 0) = ARL
T
2 (J = 0), n, ¡, and J. The ARL
values are shown in the second and third columns of Tables 1–6.
For the same design parameters (same in-control ARL, number of variables and
sample size), the optimum value of L of the synthetic-T
2
chart has the same value
for the steady state and zero-state scenarios, if the magnitude of shift J is moderate
or large. However, for small shifts, the optimum parameter L for the steady-state
case is always lower than the optimum for the zero-state case. For all the cases, the
optimum value of LCsynt for zero state will always be larger than the optimum value
for steady state.
The performance of the optimum zero-state synthetic-T
2
chart is always better
than the optimum chart for the steady-state case. This is a predictable result,
a consequence of the inertia that the steady state produces in the detection of the
shift. The largest differences (50%) are found for large shifts, although these shifts
are detected quickly for both schemes. For small shifts (J ≈ 0.5), the differences in
the ARL values are around 20%. However, these differences tend to be larger as the
sample size increases, and tend to decrease as the number of variables, ¡. increase.
5.2. Comparison Versus Hotelling’s T
2
Chart
Acomparison of performance between the zero-state synthetic-T
2
and the standard T
2
control charts [ARL
T
2 (J)] has been carried out. The zero-state case of the synthetic-T
2
chart has been selected for this comparison, and for the next one, because for the
rest of charts the ARL has been computed employing the zero-state approach.
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1
0
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e
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i
f
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J
.
A
R
L
(
J
=
0
)
=
2
0
0
,
¡
=
2
,
n
=
2
S
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n
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e
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i
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-
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2
S
y
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i
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-
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2
V
S
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-
T
2
D
S
-
T
2
T
2
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C
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184
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185
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6

J
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186 Aparisi and de Luna
The optimum design of the synthetic-T
2
chart has been utilized in the comparison
for different cases of ARL
S−T
2 (J = 0) = ARL
T
2 (J = 0), n, ¡, and J. The ARL
values are shown in the two first columns of Tables 1–6. The percentage of
improvement for the ARL is calculated as:
% of improvement =
ARL
T
2 (J = 0) −ARL
S−T
2 (J = 0)
ARL
T
2 (J = 0)
∗ 100. (2)
A list of the key conclusions will be discussed below. To observe some of the
conclusions, more cases (tables) may be needed. A very large number of cases have
been studied, however, due to size limitations, only six tables are shown in this
article. The rest of tables are available from the authors.
1. The synthetic-T
2
control chart optimum for a shift J is always faster
to detect than the Hotelling’s T
2
chart. For large shifts, J > 2, the percentage
of improvement of the synthetic-T
2
chart is better when the sample size is
small. For large sample sizes the performance of both charts is similar for
large shifts. In some cases, the improvement is quite significant. For example,
when ARL
S−T
2 (J = 0) = ARL
T
2 (J = 0) = 200, ¡ = 2, n = 2, and J = 1.25 the
improvement in the ARL is 53.66%, with ARL values of ARL
T
2 (J = 1.25) = 9.91
and ARL
S−T
2 (J = 1.25) = 4.59. For the same case the percentage of improvement
is larger than 40% for the range 0.75 ≤ J ≤ 2.
2. If the synthetic-T
2
chart is designed to minimize the ARL for a given shift J,
the optimized chart is also faster than the standard T
2
chart for the rest of values
of J, 0 - J ≤ 3.
3. The percentage improvement for the synthetic-T
2
, given the same set of
values of ¡, n and J, increases as the value of ARL(J = 0) is larger.
4. For the same values of ¡ and ARL(J = 0), the optimum parameters of the
synthetic-T
2
charts for J are constants, independently of the sample size (if n ≥ 2)
and magnitude of shift, J, if the value of J is large. The parameter L takes small
values if the chart is designed for large values of J. but L tends to be small if the
chart is optimized for large values of J.
5. Influence of the sample size. For n = 1, 2, or 3, the optimum synthetic-T
2
for a shift J is always faster than the standard T
2
for detecting shifts of magnitude
0 - J ≤ 3. For sample sizes n ≥ 4, the performance of the optimum synthetic-T
2
chart is better for small and moderate shifts, but the improvement is marginal
for large shifts. For example, if n = 7 the improvement is negligible if J ≥ 2.25.
This behavior is logical because the standard T
2
shows ARL values close to one.
As the sample size increases, the range of values of J where the synthetic-T
2
chart
has better performance is narrower. Figure 3 shows the ARL values of the optimum
synthetic-T
2
charts for a shift J. The curves shown are for the cases ARL(J = 0) =
200, ¡ = 2, n ≤ 7, and J = 0.25. 0.5. . . . . 2.
For small and moderate shifts (J ≤ 0.75), and for the same set of values of
ARL(J = 0), ¡ and J, a larger sample size increases the percentage of improvement.
However, when J ≥ 1.75 the percentage improvement for the synthetic-T
2
chart is
smaller when the sample size increases.
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J
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1
0
The Synthetic-T
2
Control Chart 187
Figure 3. ARL of the optimum synthetic-T
2
chart for a shift J. ARL
S−T
(J = 0) = 200, ¡ = 2.
6. Influence of the number of variables. The percentage improvement for the
synthetic-T
2
chart depends of the number of variables, ¡. For the same values
of n and J the percentage improvement is smaller when more variables are to
be controlled if J ≤ 0.75. However, when J ≥ 1.5 and n ≥ 3, the percentage of
improvement is larger when the number of variables increases.
5.2.1. Comparison versus MEWMA, VSS-T
2
, and DS-T
2
Charts. In this section, a
comparison of the performance (ARL) of the optimum zero-state synthetic-T
2
chart
for a shift J, versus the optimum MEWMA, VSS-T
2
, and DS-T
2
charts for the same
J is carried out. For the VSS-T
2
and DS-T
2
charts, the restrictions E(n) = n
0
and
n
1
+n
2
≤ 20 must be fulfilled. Given these restrictions, firstly it is guaranteed that,
on average, the same sample size is employed. Secondly, it is very frequent that
in order to find the optimum charts to minimize ARL(J = 0) for the VSS-T
2
and
DS-T
2
charts, large values of n
2
are obtained, producing solutions that may not be
feasible in real applications.
Tables 1–6 show the optimum parameters of the control charts that are used
in the comparison and the value of ARL(J = 0) for J = 0.25. 0.5. . . . . 2.5 and for
some combinations of ¡ and n when ARL(J = 0) = 200. The authors have obtained
more tables for the following cases: ¡ = 2, 3, 4, 5, and 10, n = 1. 2. 3. 5, and 7,
ARL(J = 0) = 200 and 400 and J = 0.25. 0.5. . . . . 2.5.
The optimum synthetic-T
2
chart for a shift J is faster than the MEWMA and
VSS-T
2
charts when ¡ = 2 and n is large. For example, when ¡ = 2 and n = 7 the
synthetic-T
2
chart is superior or equal than the MEWMA chart if J ≥ 0.75. If, on
the other hand, considering the same case, the synthetic-T
2
chart is superior or
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188 Aparisi and de Luna
similar than the VSS-T
2
chart when J ≥ 1. However, the range where the optimum
synthetic-T
2
chart is superior to these charts worsens as the sample size decreases
and the number of variables increases. For example, if ¡ = 10 and n = 1, the
ARL
S−T
2 (J = 0) is lower than the ARL of MEWMA if J ≥ 2.75.
There are some cases where the MEWMA and VSS-T
2
optimized charts for a
shift J have an ARL value larger or equal than the standard T
2
chart. However, the
synthetic-T
2
and DS-T
2
optimized charts for a shift J always have lower or equal
ARL values in comparison with the standard T
2
chart. If the synthetic-T
2
chart is
designed to minimize the ARL for a shift J, for the rest of size of shifts, 0 - J ≤ 3,
it will be always faster to detect these shifts than the T
2
chart. This behavior does
not happen sometimes with the MEWMA and VSS-T
2
charts.
In general, the performance of the MEWMA and VSS-T
2
charts is better for
detecting small shifts than the synthetic-T
2
chart, but this is may not be true
for moderate and large shifts. For a given value of ARL(J = 0) and number of
quality variables, the range where it is better to use the synthetic-T
2
chart instead of
the MEWMA control chart increases as the sample size increases. The synthetic-T
2
chart is faster than the VSS-T
2
chart when J = 0.25. However, for this same value,
the lowest ARL value is obtained by the DS-T
2
chart. For very small shifts the
DS-T
2
chart has better performance than the MEWMA.
When n ≥ 3 and ¡ ≤ 10, the synthetic-T
2
chart is faster than the MEWMA and
VSS-T
2
charts for shifts of magnitude J ≥ 1.75, although the range of J where the
performance of the synthetic-T
2
is superior is incremented when the sample size
increases and the number of variables is smaller.
The DS-T
2
chart has better performance than the synthetic-T
2
for J ≤ 1,
independently of the sample size and the number of variables. The performance of
these two charts, for moderate and large shifts, is again very similar as the sample
size increases and the number of variables decreases.
Figure 4 shows the ARL curves of the optimum charts designed to have the
best performance for J = 0.75, for the case ARL(J = 0) = 200, ¡ = 2, and n = 7
(Table 2). It is possible to see that the ARL curve of the synthetic-T
2
chart
is always below the curve of the Hotelling’s T
2
chart. However, this does not
happen with the curves of the MEWMA and VSS-T
2
charts. The ARL of the
synthetic-T
2
is lower than the ARL of the MEWMA and VSS-T
2
charts when
J ≥ 0.8. The DS-T
2
control chart is the chart that exhibits better performance in
detecting simultaneously very small and large shifts. For moderate and large shifts,
the performance of the synthetic-T
2
chart is similar to the DS-T
2
control chart.
6. Conclusions
In this article, the synthetic-T
2
control chart has been developed, finding a procedure
to obtain the optimum parameters of this chart to minimize the out-of-control ARL,
given a value of in-control ARL value and a magnitude of shift in the mean vector.
The ARLs have been calculated employing the Markov chain approach for the
steady and zero states.
It may be advisable to employ the synthetic-T
2
control chart as an alternative to
the standard T
2
chart, because the former is always faster than the latter in detecting
the shifts in the mean vector for all the values of magnitude of shift. One important
property of the zero-state synthetic-T
2
chart is that an optimized chart for a given
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The Synthetic-T
2
Control Chart 189
Figure 4. ARL curves of the optimum control charts for a shift J = 0.75. ARL(J = 0) =
200, ¡ = 2, n = 7.
magnitude of shift always gives a better performance, for all the values of shift, than
the equivalent Hotelling’s control chart.
Although its real application can be more complicated than the standard
T
2
chart, the improved performance, and the possibility of continuing employing
the tools for the interpretation of the out-of-control signal of the Hotelling’s T
2
chart, make the utilization of the synthetic-T
2
control chart an interesting one.
For example, a user interested in finding out the variables that have produced
the out-of-control signal can apply the MTY decomposition method (Mason and
Young, 1999; Mason et al., 1997) or the use of neural networks (Aparisi et al., 2006).
The synthetic-T
2
chart may provide a good alternative to the DS-T
2
chart in
order to detect moderate and large shifts in the mean vector, having the advantage
of being easier to employ in real applications. For the detection of very small
shifts (J = 0.25), we recommend the DS-T
2
. In general, for very small shifts the
synthetic-T
2
chart cannot compete with the MEWMA, VSS-T
2
, and DSS-T
2
charts,
but it has a much better performance in comparison with the Hotelling’s T
2
chart.
Given moderate and large shifts, these are cases where the synthetic-T
2
chart is
superior to that of the MEWMA or VSS-T
2
charts.
Appendix: Markov Chain Model
Let A = P(T
2
i
- LCsxnt) and B = 1 −A. As Davis and Woodall (2002) suggested,
the following transition matrix would govern the Markov chain for the multivariate
synthetic-T
2
control chart:
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190 Aparisi and de Luna
1. The first row contains A in the first column and B in the second column.
2. The last row contains A in the first column.
3. In all the other rows, the entry above the diagonal is A.
4. In all the other locations, the entry is zero.
Therefore, for example, the transition matrix for the synthetic-T
2
chart when
L = 5 is:
00000 00001 00010 00100 01000 10000 Signal
00000 A B 0 0 0 0 0
00001 0 0 A 0 0 0 B
00010 0 0 0 A 0 0 B
00100 0 0 0 0 A 0 B
01000 0 0 0 0 0 A B
10000 A 0 0 0 0 0 B
Signal 0 0 0 0 0 0 1
When the process is in control, B=1 −P(X ≤LCsxnt) =1 −

LCsxnt
0
1
!(
¡
2
)

2
¡
·
x
¡
2
−1
e

x
2
Jx, where ¡ is the number of variables, LCsynt is the control limit of the T
2
sub-chart, and !(o) is the gamma of Euler.
In order to obtain the out-of-control ARL, B is computed employing the
cumulative distribution function of the non central chi-square with ¡ degrees
of freedom and non centrality parameter z = nJ
2
, where n is the sample
size and J is the Mahalanobis’ distance. Hence, B = 1 −P(T
2
i
≤ LCsxnt) =
P(,
2
¡
(z = nJ
2
) ≤ LCsxnt) and A = 1 −B.
With this Markov chain model the ARL for the zero-state case is ARL
zero
=
s

(I −R)
−1
1, where 1 is a column vector of “ones” of size (L +1), I is the identity
matrix of size (L +1)(L +1), s is the vector (L +1) of initial probabilities, 1 for the
initial state and 0 for the rest of cases, s

= |0. 1. 0 . . . 0. 0], and the R sub-matrix
(L +1)*(L +1) has the transition probabilities without considering the absorbent
state.
The ARL of the multivariate synthetic-T
2
for the steady-state case is
obtained considering SS = |¬
0
. ¬
1
. . . . ¬
L
]
T
and ARL
steady
= SS ×(I −R)
−1
1, where
the matrices I, R, and 1 are the aforementioned and ¬
i
is the steady-state probability
for the state i,

L
i=0
¬
i
= 1.
In order to calculate the SS vector, it is recommended employing a cyclic
probability vector proposed by Lucas and Saccucci (1990) and simplified by Champ
(1992). It is also possible to use an approximation obtaining the probabilities
following the procedure employed by Celano et al. (2006). Following this last
approach, it is possible to prove that the steady-state probabilities are a function of
the parameters L and LCsynt of the synthetic-T
2
control chart.
Acknowledgments
This work has been supported by the Ministry of Education and Science of Spain,
research project number DPI2006-06124 including European FEDER funding, and
the support of the ITESM-Foundation Carolina agreement.
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The Synthetic-T
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Control Chart 191
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Communications in Statistics—Theory and Methods, 38: 173–192, 2009 Copyright © Taylor & Francis Group, LLC ISSN: 0361-0926 print/1532-415X online DOI: 10.1080/03610920802178413

The Design and Performance of the Multivariate Synthetic-T 2 Control Chart
Downloaded By: [B-on Consortium - 2007] At: 22:30 6 June 2010

FRANCISCO APARISI1 AND MARCO A. DE LUNA2
1

Departamento de Estadística e Investigación Operativa Aplicadas y Calidad, Universidad Politécnica de Valencia, Valencia, España 2 Departamento de Ingeniería Industrial y Mecánica, ITESM, Guadalajara, México
One of the objectives of research in statistical process control is to obtain control charts that show few false alarms but, at the same time, are able to detect quickly the shifts in the distribution of the quality variables employed to monitor a productive process. In this article, the synthetic-T 2 control chart is developed, which consists of the simultaneous use of a CRL chart and a Hotelling’s T 2 control chart. The ARL is calculated employing Markov chains for steady and zero-state scenarios. A procedure of optimization has been developed to obtain the optimum parameters of the synthetic-T 2 , for zero and steady cases, given the values of in-control ARL and magnitude of shift which needs to be detected rapidly. A comparison between (standard T 2 , MEWMA, T 2 with variable sample size, and T 2 with double sampling) charts reveals that the synthetic-T 2 chart always performs better than the standard T 2 chart. The comparison with the remaining charts demonstrate in which cases the performance of this new chart makes it interesting to employ in real applications. Keywords ARL; Multivariate; Quality control; SPC; Synthetic. Mathematics Subject Classification 62P30.

1. Introduction
Statistical quality control has the objective of detecting shifts in the distribution of the monitored quality variables. In the majority of production processes the possible spontaneous changes in this distribution will worsen the quality of the product manufactured. Therefore, the quick detection of these shifts is very important to maintain quality. The statistical process control (SPC) has shown itself to be a powerful tool in achieving this objective. It is possible to employ two strategies when it is desired to control concurrently p variables from one component or from a production process: to use simultaneously
Received August 21, 2007; Accepted May 2, 2008 Address correspondence to Francisco Aparisi, Departamento de Estadística e Investigación Operativa Aplicadas y Calidad, Universidad Politécnica de Valencia, Valencia 46022, España; E-mail: faparisi@eio.upv.es

173

much of research has been made in order to design control charts capable of fast detection of small shifts in the process. The problem is that the standard control charts (X in the univariate case and Hotelling’s T 2 in the multivariate case) are not efficient at detecting small shifts. Lucas and Saccucci. 5. The first proposal to control possible shifts . Reynolds and Arnold. 1997). 1992. 2004. 2006) and DS multivariate charts (Champ and Aparisi. Woodall and Ncube. in the univariate case the CUSUM charts (Jones et al. Many strategies have been proposed with the aim of improving the ARL values when the process is out of control while keeping a desired ARL value when the process is in control. Ghute and Shirke (2008).. Multivariate Quality Control Multivariate quality control consists of monitoring in one chart p variables of the same production process or component. The synthetic-X chart was introduced by Wu and Spedding (2000) as a control chart useful for detecting small shifts in the mean of a process. He and Grigoryan. In Sec. 2. Luceno and Puig-Pey. Wu and Spedding. the average number of points in the chart until the first out-of-control signal appears. 2000) and in the multivariate case the MCUSUM charts (Khoo and Quah. From our point of view.2007] At: 22:30 6 June 2010 1. a procedure will be developed for finding the parameters of the multivariate synthetic T -square chart. 1982). for the steady and zero states. Lowry et al. 1990) and MEWMA charts for the multivariate case (Aparisi and García-Díaz. the Shewhart-EWMA chart (Klein. 2001. Cumulative sums. Examples of this strategy are: the Shewhart-CUSUM chart (Lucas. 2005. 3. In addition. 4. Exponentially weighted averages. Variable sample size (VSS) univariate charts (Costa.174 Aparisi and de Luna p univariate control charts or to employ only one multivariate control chart (Montgomery. Over the years. 1994. Synthetic charts for the univariate case (Chen and Huang. a comparison versus other multivariate control charts is made. 4. the EWMA charts in the univariate case (Knoth. In this article. in order to find out in which cases the synthetic-T 2 chart shows better performance. and the synthetic chart. Section 2 shows a summary of multivariate SPC and the methodologies which enable more efficient control charts to be obtained. Prabhu and Runger. which is a Shewhart-CRL (conforming run length) chart. The efficacy of a quality control chart is normally measured using the ARL (Average Run Length). 1997). 1985).. The performance of the SPC has been improved employing simultaneously two control charts. the more efficient strategies are: Downloaded By: [B-on Consortium . 6. Section 5 shows the comparison between several multivariate control charts. 2002. 1996. that minimizes the ARL for a given size of shift. 2003). 2005). 2001) and VSS multivariate charts (Aparisi. 2006. He and Grigoryan. The optimization of the parameters of this chart can be found in Sec. given a desired in-control ARL. 3. the synthetic-T 2 chart is defined. 2. Double sampling (DS) univariate charts (Daudin. 2000). 2004. Aparisi and Haro. 1992. The conclusions can be found in Sec. 2005a. Costa and Rahim. 2005).

d = 1 − 0 1 − 0 . The strategy consists of determining the value 2 of a warning limit (w). 2 Given the value of . is a chi-square with p degrees of freedom. 2 2 If Ti−1 ≤ w. The distribution of the statistic Ti2 . The analysis is done employing the zero-state and steady-state approaches (Champ. chi-square. Xi is the mean vector of the p sample means. 2008) is proposed to reduce the values of ARL to detect process shifts computing the ARL employing Markov chains. The performance of this chart to detect shifts in the mean vector depends on the non centrality parameter = nd2 . a sample of size n1 at the time i is taken. The T 2 chart has a poor performance to detect small shifts in the mean vector. Therefore. . to find the values of CL w n1 . When Ti2 > Xp . 2 As the points plotted in the Hotelling’s T chart are independent.2007] At: 22:30 6 June 2010 where n is the sample size. 2. the control limit is CL = Xp . where −1 T d is the Mahalanobis’ distance. it is easy to obtain the control limit (CL) fixing the probability of the Type I error. 2005) and considering that 0 and 0 are known. Variable Sample Size T 2 Control Chart Aparisi (1996) and Aparisi and Haro (2003) improved the sensibility of the T 2 chart employing variable sample size (VSS). Ti2 = n Xi − T 0 0 −1 Xi − 0 (1) Downloaded By: [B-on Consortium . Zhang and Wu. Otherwise.1. there will be a description of the multivariate control charts that are going to be used in the comparison of performance shown in Sec. it is decided that only random causes are present in the process. otherwise. Lowry and Montgomery (1995) and Champ et al. where 1 is the 0 1 out-of-control mean vector. 1992. (2005) presented guides for the design of the T 2 control chart with estimated parameters. Subsequently. for a given in-control ARL. (2006) studied alternatives to estimate the covariance matrix for the case of individual multivariate observations. Vargas (2003) and Williams et al. if w < Ti−1 < CL 2 the sample size to be used is n2 . 1947) which consists of plotting the values of the statistic Ti2 . . Ghute and Shirke (2008) did not show results for small shifts and the ARL is only computed for the zero-state case. a non central 2 = nd2 . T 2 ≈ Xp Commonly. knowing the distribution of the Ti2 statistic when the process is out of control. It is possible. Davis and Woodall (2002) noted the importance of studying the synthetic charts for the steady-state case. the mean vector and the covariance matrix are estimated. The sample size at time i depends on the value of Ti−1 . The value of ARL when d = 0 is ARL d = 0 = 1− (where is the probability of the Type II error) is easily calculated. if the process is in an in-control state and 0 and 0 are known. In this article. the process is considered to be out of control. Davis and Woodall. 0 is the mean vector when the process is in control. n0 . 5. and 0 is the in-control covariance matrix. the in-control ARL is given by ARL0 = 1 . and n2 that minimizes the out-of-control ARL for a specified size of magnitude d. considering the restrictions n1 + n2 ≤ nmax and a desired mean sample size. the use of a synthetic-T 2 control chart (Ghute and Shirke. 2002.The Synthetic-T 2 Control Chart 175 in the mean vector was Hotelling’s T 2 control chart (Hotelling.

The Synthetic-T 2 Control Chart The univariate synthetic chart was introduced by Wu and Spedding (2000) as an alternative to improve the performance of the Shewhart control chart to detect process shifts. where Z0 = 0 . n1 . It is the result of combining a Shewhart chart and CRL chart (a chart originally designed to detect increments in the percentage of defective units). 1992). If Ti2 > h. the parameters of the optimum DS-T 2 chart to detect a shift of given magnitude are found. Double Sampling T 2 Control Chart The strategy of double sampling (DS) consists of taking two samples of sizes n1 and n2 from the process at the same time. the resultant chart is the Hotelling’s control chart.3. MEWMA (Lowry et al.. it is decided that the process is out-of-control. The two samples are combined employing Xi = n +n n1 Xi 1 + n2 Xi 2 . is a chart where the plotted statistic takes into account the information from past samples. for any shift magnitude. Downloaded By: [B-on Consortium . otherwise the process is deemed to be in an in-control state. r (0 < r ≤ 1). if w1 ≤ Ti21 < h1 it is not possible to make a decision and the second sample of size 1 n2 is studied.2. The exact covariance matrix of Zi is computed 1−r 2i according to zi = r 1−2−r . Ti2 is calculated using the expression Ti2 = n1 + n2 Xi − 0 T −1 Xi − 0 . In order to compute the Ti2 statistic it is necessary to employ a smoothing coefficient. With the statistical information obtained in the first sample it is determined whether the process is in control. . w1 . 1 2 Hence. and n2 . There are five parameters to define the DS-T 2 chart: h. the process is deemed to be out of control. for comparison purposes. employing genetic algorithms. it is accepted that the process is in an in-control state. employing Ti21 = n1 Xi 1 − o T −1 Xi 1 − o . MEWMA Control Chart The multivariate EWMA control chart. If Ti21 > h1 . 2. 2. However. Champ and Aparisi (2006) developed an analytical method to obtain the ARL of the DS-T 2 chart and. if Ti21 < w1 .176 Aparisi and de Luna E n = n0 . The MEWMA vector is obtained through Zi = rXi + 1 − r Zi−1 and the statistic to be plotted is given by Ti2 = ZT −1 Zi . selected to obtain a desired in-control ARL. The Ti21 statistic is computed only considering the first sample of size n1 .2007] At: 22:30 6 June 2010 3. or whether it is required to analyze the second sample. and combine it with the first one in order to make a final analysis. If the value of r is reduced the weight of the past samples is more important. Aparisi and GarcíaDíaz (2004) developed genetic algorithm based software which finds the parameters r and h (for univariate and multivariate cases) that produces the minimum ARL for a given size of shift and for a given in-control ARL. In some cases. out of control. It is a common practice to use the asymptotic approximation of the matrix zi When r = 1. than the X control chart. A software tool has been employed to find the optima parameters of this chart. being zi the covariance zi i matrix of Zi . The synthetic-X chart for the zero-state scenario shows better ARL values to detect process shifts. The MEWMA control chart shows an out-of-control signal when the Ti2 statistic is larger than the control limit (h). h1 .

The synthetic T 2 control chart (synthetic-T 2 ) is a chart for monitoring simultaneously two or more quality characteristics. However. These methods can also be applied to the synthetic-T 2 chart (Aparisi et al. the synthetic-X chart exhibits a better performance than the EWMA control chart (Wu and Spedding. With the objective of improving the performance of the synthetic control charts. due to the help provided in identifying the variables that have shifted. Applying these techniques to the syntheticT 2 chart the user may obtain a controlling procedure that. The value of LCsynt is the criteria to classify a sample as conforming or non conforming. Ti2 > LCsynt does not mean that an out-of-control state has to be assumed.. The value of L is the criteria to decide if the process is in control or out of control. When this assumption is ruled out.b. 2005a. 2006. is very important for the performance of the synthetic charts. unlike the T 2 control chart. Only when the sample is classified as non conforming and CRL ≤ L will the process be considered to be out of control. 1998. Costa and Rahim. although it is not the fastest in comparison versus other multivariate charts (see the comparison later).. . Several methods for the interpretation of the out-of-control signal of the T 2 control chart have been developed. 2006) and the percentage of defective units of a process (Wu et al. 2004. L. LCsynt. Sub-charts of the synthetic-T 2 control chart: T 2 sub-chart and CRL sub-chart. 2002). L ≥ 1. 2001). Mason and Young. Mason et al. 1997). It consists of two sub-charts: a T 2 sub-chart and a CRL sub-chart. The T 2 sub-chart has a unique control limit. this signal does not inform us about the variable or variables that have produced the shift.2007] At: 22:30 6 June 2010 especially for moderate and large shifts. Figure 1 shows the concept of the syntheticT 2 chart. Like the T 2 control chart. but the inspected sample must be classified as non conforming. the synthetic-T 2 chart shows an out-of-control signal. called head start.The Synthetic-T 2 Control Chart 177 Figure 1. This characteristic. For a synthetic-T 2 chart. Chen and Huang (2005b) applied variable sampling intervals (VSI) and Davis and Woodall (2002) improved the performance of the synthetic-X control chart by adding the concept of side-sensitive. Downloaded By: [B-on Consortium . indicating that there probably is a shift in the process. 1999. Kourti and MacGregor. The CRL sub-chart has a low control limit. the performance of synthetic charts worsens (Davis and Woodall.. Atienzas et al. The CRL concept assumes that in t = 0 there is a point above the LCsynt limit (a non conforming sample in t = 0). 2006. may be more useful in a real application. 2000).. The synthetic chart has been also applied to monitor the variability of a process (Chen and Huang.

The steady-state case means that the process was in an in-control state for a long period. The value of the in-control ARL is selected taking into account the frequency of false alarms.2007] At: 22:30 6 June 2010 5. 1992. As exposed in Fig. Obtaining the ARL Values When the ARL needs to be computed. The zero-state scenario implies that the shift in the process occurred just before the first sample was taken. before the out-of-control situation happened. 4. p = 3. with ARLS−T 2 d = 0 75 = 13 58. Comparison Versus Other Multivariate Charts 5. In a similar way.41. Optimization of the Parameters of the Synthetic-T 2 Chart Two values of ARL are important for the design and performance of the syntheticT 2 chart. and number of variables. 2. Optimization of the Synthetic-T 2 Control Chart A software tool for Windows® has been developed in order to find the optima parameters of the synthetic-T 2 control chart. The chart that fulfils this design is considered to be optimum to detect a shift of size d in the mean vector. the in-control ARL [ARLS−T 2 d = 0 ] and the out-of-control ARL [ARLS−T 2 d = 0 ]. the reduction in the value of ARL for a shift d = 0 75 employing the synthetic-T 2 chart is 33. Once the zero or steady state is selected.5%. The out-ofcontrol ARL value for the standard T 2 chart is 20. d = 0 75. 2005). Davis and Woodall (2002) found that the synthetic-X chart may be modelled employing Markov chains.1.178 Aparisi and de Luna 4. and steady state. the output from the software tool shows the improvement of ARL against Hotelling’s T 2 control chart and it draws the ARL curves of T 2 and synthetic-T 2 charts. . The software tool is available upon request from the authors. Figure 2 shows the solution for the problem ARLS−T 2 d = 0 = 200. Downloaded By: [B-on Consortium . The value of ARLS−T 2 d = 0 is important in order to rapidly detect a shift in the mean vector of magnitude d. ARLS−T 2 d = 0 . like a standard X chart with a run rule of 2 points of (L + 1) outside control limits. the optimization process finds the values of L and LCsynt that minimizes the value of ARLS−T 2 d = 0 for a given shift of magnitude d sample size.1. taking into account the restriction of the specified in-control ARL.2. The output of this software tool is shown in Fig. Comparison Between Optimum Steady and Zero States Synthetic-T 2 Charts A comparison of performance between the optimum design for the zero-state synthetic-T 2 and the steady-state synthetic T 2 control charts has been carried out. 2. 4. two approaches are possible: zero state and steady state (Champ. This approach is also useful for calculating the ARL for the zero-state case. Zhang and Wu. The parameters of the optimum synthetic-T 2 chart are: LCsynt = 9 163 and L = 9. Therefore. n = 4. see the Appendix. The synthetic-T 2 chart may be modeled like a T 2 control chart with a run rule that consists of 2 points of (L + 1) outside the upper control limit. Wu and Spedding (2000) showed the formulas to obtain the ARL value of the synthetic-X chart for the zero-state case. it is possible to obtain the ARL of the multivariate syntheticT 2 control chart (ARLS−T 2 ) employing a Markov chain approach.

The ARL values are shown in the second and third columns of Tables 1–6. The zero-state case of the synthetic-T 2 chart has been selected for this comparison. and d. p increase. . the optimum value of LCsynt for zero state will always be larger than the optimum value for steady state.2. For all the cases. This is a predictable result. number of variables and sample size). and for the next one.2007] At: 22:30 6 June 2010 Figure 2. the optimum parameter L for the steady-state case is always lower than the optimum for the zero-state case. The optimum design of the synthetic-T 2 charts has been utilized in the comparison for different cases of ARLS−T 2 d = 0 = ARLT 2 d = 0 . the optimum value of L of the synthetic-T 2 chart has the same value for the steady state and zero-state scenarios. Comparison Versus Hotelling’s T 2 Chart A comparison of performance between the zero-state synthetic-T 2 and the standard T 2 control charts [ARLT 2 d ] has been carried out. these differences tend to be larger as the sample size increases. and tend to decrease as the number of variables. although these shifts are detected quickly for both schemes. For the same design parameters (same in-control ARL. However. Main window of the in-house software tool used to find the optimum synthetic-T 2 and synthetic-X control charts. because for the rest of charts the ARL has been computed employing the zero-state approach. The largest differences (50%) are found for large shifts. For small shifts (d ≈ 0 5). if the magnitude of shift d is moderate or large. 5. a consequence of the inertia that the steady state produces in the detection of the shift. However. p. The performance of the optimum zero-state synthetic-T 2 chart is always better than the optimum chart for the steady-state case. for small shifts. n. the differences in the ARL values are around 20%.The Synthetic-T 2 Control Chart 179 Downloaded By: [B-on Consortium .

1.1.1.0.9) 1.19) 12.18) 9.4) 2.3) 1.95.57.3) 1.14.1. L ) Zero state MEWMA h r Synthetic-T 2 (LCsynt.77.58.64 (9.75.3.4.630.987.19) 26.26 (5.1.59.500.27.6) 2.76 1.5.4.59) 2.29) 61.48 (6.71 (8.0.93 (6.5) 1.62 (9.1.1.26) 4.1.28.58.11) 3.27.28 (7.38 (7.2) 41.24 (9.39.75 (7.16) 6.28 (10. 5.6) 4.1.49 (10.5 76.96.2.86 0.03 (9.95 (10.39.10 ( 6.8) 2.3) 1.67) 1.597.7) 1.499.10.5) 2.1.01.93 (10.13.5 5.55 (10.2.966.86 (10.75 37.92 (10.11.4) 1.10 (10.01 180 1 18.5.3.5) 2.10.87 ( 5.4) 1.842.2007] At: 22:30 6 June 2010 Table 1 ARL of the optimum multivariate control charts for a shift d ARL d = 0 = 200.96 (11.03 ( 9.89.597.1.1.82.067.1.17) 8.12.5) 1.68 (10.50 129. n = 2 2 d 200 200 200 T CL Synthetic-T 2 (LCsynt.45.37 (8.12.18.11.48 1.79 (9.873.13 (5.50) 51.355.51 2.5.74.597.91 1.11.2) 21.61 (10. 3.79) 138.34 (10.Downloaded By: [B-on Consortium . p = 2.372.10) 4.27 (10.942.73 (10.69.25 9.36.11. 0.11 (11.0.19.0.155.19) 39.43) 2.87 2.25.5. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 200 0 200 0.09 (7.79 (6.20.20 (14.2) 137.00.59 (7.27 (8.0.8) 6.1.13) 9.2.47 (10.74.1.5 1.25 200 10.2.597.3.4.39.2) 1.25 1.83.3) 5.0.698.1.597.62.22 (10.1.80 (7.1.1.5966 148.4) 1.859.63 (6.50 (13.22 (6.30) 19.36 (6.496.38) 3.88 (7.74) 1.2) 1.34.11.451. 0.1.597.16) 6.49 (6.597.7) 2.87.597.22.5) .4) 1.28 (10.1.59.597.3) 16.161.873.12.0.86 (6.95.26 (13.12) 12.16.73.5485.0.68 (5.597.826.108.39.51.41.71.78.3.1.34 0.65 2 2.366.77.05) 17.25.242.10) 3.1.75 3.966.20.

68 (6.597.94.72 1.98 0.00 58.1.89.73 (7.2) 68.4.23.597.59.00 (10.20.25 (10.91) 1.00 (10. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 200 0 200 0.2) 1.32 (8.47) 1.01 (5.1.355.13) 1.63 (10.19.0.90)) 1.04.842.00 (15.2.10.2.0.666.73.4.11.7) 1.33 (6.59.81 (9.59.5) 1.02 (17.02.25 1.20 (5.00) 66.89.0.00 (12.195.6.6.00 2.7) 1.0.11) 1.10 (10.9) 4.88. 0.966.2) 1.0.5) 2.8) 1.58.769.03 (10.6.2007] At: 22:30 6 June 2010 Table 2 ARL of the optimum multivariate control charts for a shift d ARL d = 0 = 200.54.5966 84.19) 9.65 (9.20.597.63.75.873. L ) Zero state Synthetic-T 2 (LCsynt.5.11.3) 1.00 (10.2) 1.15.50 ( 5.698.18) 2.20) 14.1) 18.2) 1.19.6.3.0.05 ( 5.13) 10.4.2) 1.04 (10.597.62 (10.01.88.07 2 1.6.69 (7.54 (10.5.33.00 (5.86) 1.14) 1.41.0. 2.14.74) 1.1.12) 3.2) 1.3.02 1.22.3) 1.1.2.27.2) 1.75 7.5.25 200 10.25 1.3.15.51 (5.6.33.01 (10.3.2.85 (10.14) 1.471.597.24 1.94.594.30 (10.5.873.5.07.232.966.6.17 (10.5 1.32) 10.3.57.8) 7. n = 7 d 200 200 200 T2 CL MEWMA h r Synthetic-T 2 (LCsynt.06 (10.873.966.63.873.25.5 1.08 (10.9) 1.79 (5.34.11) 1.52 (9.2) 1.02 (10.10) 1.12.12) 1.209.59.56.74.87) 1.597.89.04 181 1 3.25 (10.19) 3.242.966.36.56.34) 2.00 (5.27 (8.0.90.873.75 1.597.10.0. p = 2.13) 2.2.5 21.2) 1.02 2.866.00.4.50 ( 6.597.597.70 (7.2.59.8) 1.2.53.556.11.10.1.92.57 (5.597.966.86 (6.08 (10.14) .3.6.Downloaded By: [B-on Consortium .22) 3.13) 1.50 (5.39.18 (10.0.2) 1.3.00 (13.36.35 0.36 (10.6.36 (12.15.50 (5.00 (5.966.6.09) 6.

23) 17.75 (12. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 200 0 200 0.3) 161.494.22.Downloaded By: [B-on Consortium .441.68.46 (16.9.69.3) 52.25.2007] At: 22:30 6 June 2010 Table 3 ARL of the optimum multivariate control charts for a shift d ARL d = 0 = 200.26.5 10.5.20.42) 2.1.0.61 (12.07 (16.1.07 (10. 8.0.1.06) 20.9) 3.78 ( 16.15 (13.561.0.20 2 3.1.11 1.750.393.657.3) 7.26.84.5.750.0.62.60.38 (16.27.19) 9.16.04 155.87.1.9.51 (14.82 (13.1.94.3) .36 (11. 0.10) 3.97 (12.58 (15.661.1.22.17 (16.51) 2.73.1.35.20 0.6) 2.69.25 200 16.25 18. p = 5.28 1.890.24.11) 11.73.07 (11.53 (13.19.750.10) 4.63 (16. L ) Zero state MEWMA h r Synthetic-T 2 (LCsynt.7) 2.43 182 1 33.1.928.9.7.1.59 (11.79.87 (16.1.10.734.08) 11.1.11 (16.153.80.5 109.99.17.13.0.19.58 (14.20) 46.22) 5.15) 22.) 31.1.96.20.4.17. n = 2 2 d 200 200 200 T CL Synthetic-T 2 (LCsynt.0.0.15) 7.6) 2.66.1.91 (12.1.43.8) 6.750.81.96 (14.7.719.1.83 (13.1.13) 5.19) 15.5) 2.3) 1.366.15.7496 168.8) 5.25 2.386.0.29) 4.18.07 1.448.4) 1.17.04.5 2.538.36 (11.12) 7.47 (18.3) 1.73.1.1.10.10.28 (18.13 (12.79.7) 2.99 2.35) 3.4) 2.07 (13.10.750.977.19) 20.18 (16.8.75 6.393.76.0.44.159.53 (12.03 (13.58) 1.833.08 (16.06 (14.1.3) 1.07 (11.750.609.750.5.18.75 61.27 (16.22 (16.0.724.980.28.73 ( 12.82 (16.52 (16.1.33.62.85.8.35) 37.74 (16.3) 1.7.97 (11.4) 2.69 (15.82.750.22 (22.48) 82.15) 8.22 (14.84 (12.7) 1.61 (16.76 2.69.17.538.37 (16.96 0.19) 66.180.92.750.31. 7.51.62.25) 92.750.4.16 (13.1.32 (11.6) 2.79) 164.6) 4.35.5) 3.80.

7496 116.01 (16.17.2) 1.5.719.38 (12.19) 4.73) 1.1.0.618.00 (23.5.0.89 (13.08.73.2) 1.0.2007] At: 22:30 6 June 2010 Table 4 ARL of the optimum multivariate control charts for a shift d ARL d = 0 = 200.43.6.00 90.7) 1.5 1.98.11) 1.55 (10.0.39 (16.55 1.11) 1.02.5.57.23. p = 5.745.73.90.6) 14.14) 1.44 (16.71 183 1 4.8.4) 1.20.5 38.11.73.02.5.07.0.750. 0.590.07) 8.13.87 (13.3) 1.0.01 2.17.52.445.0.00 (11.86 (16.5.0.04 (11.14) 1.0.917.36 (15.75 1.19) 16.00 (17.77.037.5.01 (16.00 (11.38 (15.51 (16.20.97 1.05 (16.724.037.750.0.7.50 (10.97) 1.7) 1.890.6.51.00 (13.01 (18.25 2.7.71.23.75 12.34.7.2) 23.53.5.917.29.73.750.95.8) 1.91) 1.47 (11.72.05 2.6.0.25 1.81 (14.8.23.10 (16.6.349.Downloaded By: [B-on Consortium .037.037.917.95 (15.74 0.11 (16.441.19 2 1.2) 100.538.0.19 (16.7.00.00 (16.08.44.14) 1.24.0.037.02 (23.46.750.75.00 (16.50 (10.2.01 (11.13) 3.17) 5.917.7) 1.86 0.00.81 (16. L ) Zero state Synthetic-T 2 (LCsynt.37) 20.750.750.51.3.6.0.8) 2.16.5.7) 3.8.20.1.750.6.5.39.12) 8.750.92 (16.750.5.00.2) 1.61.14 (11.8.69.1.917.69) 1.1.34) 2.28.4) 1.19) 2.5 1.2) 1.5.92) 101.46 1.62 (16.4. n = 7 d 200 200 200 T2 CL MEWMA h r Synthetic-T 2 (LCsynt.06 (16.52) 2.5.2) 1.0.71 (10.2) 1.750.2) 1.95 (15.6.18.10.5.24.63 (11.4) 2.47 (15.2) 1.5.51 (10.49.18 (12.48 (11.75.7) 6.52 (16.20) 27.6) 1.66) 1.28.04 (16.75.63.00.25 200 16.924.16.15) 1.93.20) 4.393.3) 1.5) .88 (12.22 (16.20 (11. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 200 0 200 0.17) 1.51 (16.

42.338.84 (19.6) 2.66.01 (25.25 200 25.11.754.78 1.27.32.16 (19.81.65 (25.29.5) 1.13.71 (20.0.48.07 (21.98.5 17.9) 2.875.45 (25.1.35.64.1.1.30.15.27) 28.50 (20.30 (25.27.15.19) 92.96.188.43 (22.73 (22.5 132.40.37) 57.07) 14.40 (22.1882 179.15 184 1 50.7) 6.3) 173.14.9) 4.01 (24.8725.18.62 (25.88.35 (25.42 2.15.01 (22.50.43 1.45) 108.7) 3.55.1.93 (23.76.99.Downloaded By: [B-on Consortium .17.595.21.78 (19.657.18.58 (25.77.17 (19.75 (22.56.12) 19.1.60 (25.890.8) 3.361.1.68 (24.58 (21.24 0.19) 13.0.54.163.1.17) 6.44.709.3) .95.120.72 (21.3) 64.0.8) 3.15) 36.5) 1.4) 42.5 2.54.324.188.05.188.1.98 (20.688.43 (23.150.16.15.22) 117.0.5) 3.432.84 (25. L ) Zero state MEWMA h r Synthetic-T 2 (LCsynt.2007] At: 22:30 6 June 2010 Table 5 ARL of the optimum multivariate control charts for a shift d ARL 0 = 200.11.5) 2.19 (19.94 (21.32.39 (20.11) 4.8. n = 2 2 d 200 200 200 T CL Synthetic-T 2 (LCsynt.439.47 (19.71 (20.034.557.022.052. p = 10.4) 1.6) 4.13) 7.13.02) 26.22.12.1.39) 3.0.1.88.14 1.91 (24.43.029.61.42 (20.72.0.2) 5.890.75 10.96 169.188.17.188.11 (20.86.0.87.19) 67.97 (25.98.1.19) 10.66 (18.1. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 200 0 200 0.17.84 (25.09.19) 19.4) 2.13.188.12) 4.513.214.47 (18.63 (25.08.37.27 2 6.1.5) 2.1.1.27.0.55.62.15 (17.0.49) 2.5) 2.34) 3.10) 7.1.25 4.80.71.188.19 (25.71.29.1.16 (17.1.23 2.19) 31.188.17.64.682.05 (19.28 0.1) 9.76.19) 14.17.24 (21.75 85.53 (20.188.1.52) 2.10) 11.25 29.16) 7.77) 176.54 (25.188.19.12.76 (17. 0.

05) 10.74.6.7) 1.38) 34.266.04 (25.16.266.97) 1.23) 3.03 (18.3.55.78) 1.3.8) 5.5 58.70 (24.696.3) 1.26.266.14.14 (25.13 1.19) 31.34 (25.95 (19.2.6.85) 1.709.188.188.70 (25.2) 1.48.26) 2.0.55.5) 24.33 (18.29 0.17.12) 1.05 (25.15) 1.17.98 (18.60 (25.00.5) 2.17.51 (18.61.05 (23.4) 1.115.60.77 (25.187.86.79.09 185 1 8.26.2.56.324.19) 42.26.00 (26.188.27.24.0.6.0.188.6.11.21 (25.6.11.13.19.93.15) 1.37 (25.0.60.28.3) 1.0.432.91 (22.5.3.4) .266.068. L ) Zero state 200 Synthetic-T 2 (LCsynt.12.18.188.18) 7.22 (37.07 1.7) 6.16) 2.54 (18.12 (21.14.01 (26.296.14.0. L ) Steady state VSS-T 2 (CL w n1 n2 ) n1 + n2 <= 20 DS-T 2 h h1 w1 n1 n2 n1 + n2 <= 20 0 200 0.51 (21.21) 10.50.67.96.52 (23. n = 7 d 200 200 200 T2 CL MEWMA h r Synthetic-T 2 (LCsynt. 0. p = 10.5.115.6.163.39 (25.00 (18. 0.34.19.63 (21.2) 1.1.14.25.13.2) 1.36 (20.91 (25.77) 1.59 (26.188.04.41 2 1.14.49.11.54 (23.94 (25.32.75 1.14 2.Downloaded By: [B-on Consortium .80.188.925.12) 1.01 (25.0.2) 29.693.11.6.82 (25.10) 1.14 (25.11) 2.97 (25.50 (18.12.00.88.27.12.16.9) 7.33.01 (25.5 2.11.14) 1.05.5 1.188.5.799.0.13) 5.12) 1.78.6) 1.6.26.294.115.4) 1.1.49 (25.0.77 (19.75 21.32.04 (25.89 (19.11) 3.25 200 25.03 (20.188.65 (18.2007] At: 22:30 6 June 2010 Table 6 ARL of the optimum multivariate control charts for a shift d ARL d = 0 = 200.10 (18.14.2.120.00.01 115.58.0.4.2) 124.7) 1.15) 1.890.15.29.58) 1.2) 1.24.0 (18.25 3.48 (19.0.91.2) 1.31.1882 138.25 1.80 (20.28.18) 3.11) 1.33.115.04 2.81 (20.474.2) 1.27.83 0.94) 127.18.13) 13.58 (24.188.91.4.0.0.70 1.

For example. only six tables are shown in this article. A very large number of cases have been studied. with ARL values of ARLT 2 d = 1 25 = 9 91 and ARLS−T 2 d = 1 25 = 4 59. The rest of tables are available from the authors. In some cases. the range of values of d where the synthetic-T 2 chart has better performance is narrower. The ARL values are shown in the two first columns of Tables 1–6. If the synthetic-T 2 chart is designed to minimize the ARL for a given shift d. 2. given the same set of values of p. the optimum synthetic-T 2 for a shift d is always faster than the standard T 2 for detecting shifts of magnitude 0 < d ≤ 3. 1. p = 2. For the same values of p and ARL d = 0 . when d ≥ 1 75 the percentage improvement for the synthetic-T 2 chart is smaller when the sample size increases. For n = 1.186 Aparisi and de Luna The optimum design of the synthetic-T 2 chart has been utilized in the comparison for different cases of ARLS−T 2 d = 0 = ARLT 2 d = 0 . more cases (tables) may be needed. For large shifts. d. n = 2. increases as the value of ARL d = 0 is larger. For large sample sizes the performance of both charts is similar for large shifts. 5. independently of the sample size (if n ≥ 2) and magnitude of shift. For example. or 3. As the sample size increases. due to size limitations. The synthetic-T 2 control chart optimum for a shift d is always faster to detect than the Hotelling’s T 2 chart. but the improvement is marginal for large shifts. the improvement is quite significant. To observe some of the conclusions. 0 < d ≤ 3. the optimum parameters of the synthetic-T 2 charts for d are constants. The parameter L takes small values if the chart is designed for large values of d but L tends to be small if the chart is optimized for large values of d. The curves shown are for the cases ARL d = 0 = 200. and d = 0 25 0 5 2. For sample sizes n ≥ 4. if the value of d is large. n ≤ 7. p. n and d. The percentage improvement for the synthetic-T 2 .66%. For the same case the percentage of improvement is larger than 40% for the range 0 75 ≤ d ≤ 2. The percentage of improvement for the ARL is calculated as: % of improvement = ARLT 2 d = 0 − ARLS−T 2 d = 0 ∗ 100 ARLT 2 d = 0 (2) Downloaded By: [B-on Consortium . d > 2.2007] At: 22:30 6 June 2010 A list of the key conclusions will be discussed below. . Influence of the sample size. p and d. p = 2. if n = 7 the improvement is negligible if d ≥ 2 25. For small and moderate shifts (d ≤ 0 75). This behavior is logical because the standard T 2 shows ARL values close to one. and for the same set of values of ARL d = 0 . and d = 1 25 the improvement in the ARL is 53. the percentage of improvement of the synthetic-T 2 chart is better when the sample size is small. However. however. n. the performance of the optimum synthetic-T 2 chart is better for small and moderate shifts. the optimized chart is also faster than the standard T 2 chart for the rest of values of d. 2. and d. Figure 3 shows the ARL values of the optimum synthetic-T 2 charts for a shift d. when ARLS−T 2 d = 0 = ARLT 2 d = 0 = 200. a larger sample size increases the percentage of improvement. 4. 3.

In this section. VSS-T 2 . p. However. 4. considering the same case. For the same values of n and d the percentage improvement is smaller when more variables are to be controlled if d ≤ 0 75. when p = 2 and n = 7 the synthetic-T 2 chart is superior or equal than the MEWMA chart if d ≥ 0 75. firstly it is guaranteed that. and 7. Influence of the number of variables. VSS-T 2 . p = 2. producing solutions that may not be feasible in real applications. Tables 1–6 show the optimum parameters of the control charts that are used in the comparison and the value of ARL d = 0 for d = 0 25 0 5 2 5 and for some combinations of p and n when ARL d = 0 = 200. the synthetic-T 2 chart is superior or . the same sample size is employed. the percentage of improvement is larger when the number of variables increases. The percentage improvement for the synthetic-T 2 chart depends of the number of variables. 5. Secondly. it is very frequent that in order to find the optimum charts to minimize ARL d = 0 for the VSS-T 2 and DS-T 2 charts. when d ≥ 1 5 and n ≥ 3. ARL of the optimum synthetic-T 2 chart for a shift d. For example. The optimum synthetic-T 2 chart for a shift d is faster than the MEWMA and VSS-T 2 charts when p = 2 and n is large. 5. 3. Comparison versus MEWMA. The authors have obtained more tables for the following cases: p = 2. on the other hand.2007] At: 22:30 6 June 2010 Figure 3.The Synthetic-T 2 Control Chart 187 Downloaded By: [B-on Consortium . the restrictions E n = n0 and n1 + n2 ≤ 20 must be fulfilled. 6. If.1. ARLS−T d = 0 = 200. Given these restrictions. large values of n2 are obtained. and 10. a comparison of the performance (ARL) of the optimum zero-state synthetic-T 2 chart for a shift d. versus the optimum MEWMA. and DS-T 2 charts for the same d is carried out.2. ARL d = 0 = 200 and 400 and d = 0 25 0 5 2 5. on average. n = 1 2 3 5. and DS-T 2 Charts. For the VSS-T 2 and DS-T 2 charts.

It is possible to see that the ARL curve of the synthetic-T 2 chart is always below the curve of the Hotelling’s T 2 chart. although the range of d where the performance of the synthetic-T 2 is superior is incremented when the sample size increases and the number of variables is smaller. independently of the sample size and the number of variables. for moderate and large shifts. However. for the rest of size of shifts. However. However. the synthetic-T 2 chart is faster than the MEWMA and VSS-T 2 charts for shifts of magnitude d ≥ 1 75. The performance of these two charts.2007] At: 22:30 6 June 2010 6. the synthetic-T 2 control chart has been developed. the range where it is better to use the synthetic-T 2 chart instead of the MEWMA control chart increases as the sample size increases. is again very similar as the sample size increases and the number of variables decreases. The ARLs have been calculated employing the Markov chain approach for the steady and zero states. There are some cases where the MEWMA and VSS-T 2 optimized charts for a shift d have an ARL value larger or equal than the standard T 2 chart. The ARL of the synthetic-T 2 is lower than the ARL of the MEWMA and VSS-T 2 charts when d ≥ 0 8. the lowest ARL value is obtained by the DS-T 2 chart. because the former is always faster than the latter in detecting the shifts in the mean vector for all the values of magnitude of shift. finding a procedure to obtain the optimum parameters of this chart to minimize the out-of-control ARL. The DS-T 2 control chart is the chart that exhibits better performance in detecting simultaneously very small and large shifts. for this same value. In general. For moderate and large shifts. 0 < d ≤ 3. the range where the optimum synthetic-T 2 chart is superior to these charts worsens as the sample size decreases and the number of variables increases. For very small shifts the DS-T 2 chart has better performance than the MEWMA. However. this does not happen with the curves of the MEWMA and VSS-T 2 charts. the synthetic-T 2 and DS-T 2 optimized charts for a shift d always have lower or equal ARL values in comparison with the standard T 2 chart. Downloaded By: [B-on Consortium . the performance of the MEWMA and VSS-T 2 charts is better for detecting small shifts than the synthetic-T 2 chart. Figure 4 shows the ARL curves of the optimum charts designed to have the best performance for d = 0 75. It may be advisable to employ the synthetic-T 2 control chart as an alternative to the standard T 2 chart. it will be always faster to detect these shifts than the T 2 chart. The DS-T 2 chart has better performance than the synthetic-T 2 for d ≤ 1. the performance of the synthetic-T 2 chart is similar to the DS-T 2 control chart. and n = 7 (Table 2). The synthetic-T 2 chart is faster than the VSS-T 2 chart when d = 0 25. One important property of the zero-state synthetic-T 2 chart is that an optimized chart for a given . given a value of in-control ARL value and a magnitude of shift in the mean vector. For example. p = 2. If the synthetic-T 2 chart is designed to minimize the ARL for a shift d. but this is may not be true for moderate and large shifts. for the case ARL d = 0 = 200. For a given value of ARL d = 0 and number of quality variables. This behavior does not happen sometimes with the MEWMA and VSS-T 2 charts. if p = 10 and n = 1. Conclusions In this article. When n ≥ 3 and p ≤ 10. the ARLS−T 2 d = 0 is lower than the ARL of MEWMA if d ≥ 2 75.188 Aparisi and de Luna similar than the VSS-T 2 chart when d ≥ 1.

In general.. the improved performance. but it has a much better performance in comparison with the Hotelling’s T 2 chart. for very small shifts the synthetic-T 2 chart cannot compete with the MEWMA.The Synthetic-T 2 Control Chart 189 Downloaded By: [B-on Consortium . these are cases where the synthetic-T 2 chart is superior to that of the MEWMA or VSS-T 2 charts. a user interested in finding out the variables that have produced the out-of-control signal can apply the MTY decomposition method (Mason and Young. For example. n = 7. and the possibility of continuing employing the tools for the interpretation of the out-of-control signal of the Hotelling’s T 2 chart. 1999. ARL curves of the optimum control charts for a shift d = 0 75. Although its real application can be more complicated than the standard T 2 chart. and DSS-T 2 charts. As Davis and Woodall (2002) suggested. VSS-T 2 . magnitude of shift always gives a better performance. Appendix: Markov Chain Model Let A = P Ti2 < LCsynt and B = 1 − A. we recommend the DS-T 2 . 2006).. ARL d = 0 = 200. 1997) or the use of neural networks (Aparisi et al. the following transition matrix would govern the Markov chain for the multivariate synthetic-T 2 control chart: . than the equivalent Hotelling’s control chart. having the advantage of being easier to employ in real applications. Given moderate and large shifts. The synthetic-T 2 chart may provide a good alternative to the DS-T 2 chart in order to detect moderate and large shifts in the mean vector. p = 2. make the utilization of the synthetic-T 2 control chart an interesting one.2007] At: 22:30 6 June 2010 Figure 4. for all the values of shift. For the detection of very small shifts (d = 0 25). Mason et al.

for example. 1 for the initial state and 0 for the rest of cases. and 1 are the aforementioned and i is the steady-state probability for the state i. where p is the number of variables. Therefore. With this Markov chain model the ARL for the zero-state case is ARLzero = s I − R −1 1. The last row contains A in the first column. The ARL of the multivariate synthetic-T 2 for the steady-state case is T obtained considering SS = 0 1 and ARLsteady = SS × I − R −1 1. 3. the transition matrix for the synthetic-T 2 chart when L = 5 is: 00000 00000 00001 00010 00100 01000 10000 Signal A 0 0 0 0 A 0 00001 B 0 0 0 0 0 0 00010 0 A 0 0 0 0 0 00100 0 0 A 0 0 0 0 01000 0 0 0 A 0 0 0 10000 0 0 0 0 A 0 0 Signal 0 B B B B B 1 LCsynt 0 1√ · 2p 2 Downloaded By: [B-on Consortium . i=0 In order to calculate the SS vector. LCsynt is the control limit of the T sub-chart. In all the other locations.2007] At: 22:30 6 June 2010 When the process is in control. s = 0 1 0 0 0 . In order to obtain the out-of-control ARL. research project number DPI2006-06124 including European FEDER funding. and the R sub-matrix (L + 1)*(L + 1) has the transition probabilities without considering the absorbent state. where L the matrices I. R. It is also possible to use an approximation obtaining the probabilities following the procedure employed by Celano et al. B = 1 − P X ≤ LCsynt = 1 − p x x 2 −1 e− 2 dx. and the support of the ITESM-Foundation Carolina agreement. Hence. (2006). . where n is the sample size and d is the Mahalanobis’ distance. where 1 is a column vector of “ones” of size (L + 1). p 2 Acknowledgments This work has been supported by the Ministry of Education and Science of Spain. 2. and a is the gamma of Euler. In all the other rows. B = 1 − P Ti2 ≤ LCsynt = 2 P p = nd2 ≤ LCsynt and A = 1 − B. the entry above the diagonal is A. B is computed employing the cumulative distribution function of the non central chi-square with p degrees of freedom and non centrality parameter = nd2 . s is the vector (L + 1) of initial probabilities. the entry is zero. it is possible to prove that the steady-state probabilities are a function of the parameters L and LCsynt of the synthetic-T 2 control chart.190 1. it is recommended employing a cyclic probability vector proposed by Lucas and Saccucci (1990) and simplified by Champ (1992). 4. L i = 1. Following this last approach. Aparisi and de Luna The first row contains A in the first column and B in the second column. I is the identity matrix of size (L + 1)(L + 1).

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