EWMA and CUSUM charts

The attribute and variable control charts are called Shewhart control charts (as they are based on the
principles developed by Dr. Walter A. Shewhart.

A major disadvantage of any Shewhart control chart is that it only uses the process information
contained in the last plotted point, and it ignores any information given by the entire sequence of
points.

This feature makes the Shewhart control chart relatively insensitive to small shifts in the process (on the
order of about 1.5 ).

Two very effective alternatives to the Shewhart control chart may be used when small shifts are of
interest: the cumulative sum (or CUSUM) control chart, and the exponentially weighted moving
average (EWMA) control chart.

CUSUM chart for the process mean

The CUSUM chart directly incorporates all the information in the sequence of sample values by plotting
the cumulative sums of the deviations of the sample values from a target value.

CUSUMS may be constructed both for samples where n = 1 or n > 1 .

In this section, we will study a cumulative sum chart for n > 1 and for equal sample sizes. We will
describe the procedure to calculate the points in a CUSUM chart, the centerline, and the control limits

CUSUM points

Let xi represent the mean of the sample i with sample size n .

m

Let x represent the grand average of m samples considered for building the chart. Thus x =

x
i =1

.
m

Let si be the standard deviation of the sample i . The average of the m standard deviations is S =
The estimator of the population standard deviation is =

s
i =1

S
c4

(You can find c4 in the table at the end of this handout)

Let S H (i ) be an upper one-sided CUSUM for period i and S L (i ) be a lower one-sided CUSUM for period

i . These quantities are calculated from

=
S H (i ) = max 0, xi x + k
+ S H (i 1)
n

and

=
S L (i ) = min 0, xi x k
+ S L (i 1)
n

Where the starting values S H (0 ) = S L (0 ) = 0 .

The parameter k is called the reference value, and it is the allowable slack of the process. A value
that provides good performance is k = 0.5 , which means that we will allow an slack of 0.5 standard
deviations from the mean

Notice that S H (i ) and S L (i ) accumulate deviations from the target value that are greater than k , with
both quantities reset to zero upon becoming negative. If either S H (i ) or S L (i ) exceeds the control
limits, the process is out of control.

CUSUM centerline and control limits

UCL = h

CL = 0

UCL = h

The parameter h is called the decision interval. It is the number of standard deviations between the
centerline and the control limits. It has been observed that a value of h = 4 would provide good
performance. Both k and h are the design parameters of the CUSUM chart

Example 1
A pharmaceutical company produces reagents for diagnostic testing. Among the quality tests performed
are medical decision pools that are run to monitor recovery at values that are of medical significance
(e.g., borderline between normal and abnormal). Poor precision at this level could cause a misdiagnosis
in assaying a patients sample. The table 1 presents the medical decision pool results for the reagent for
thyroid hormone T4. Samples of n = 4 replicates were tested each day for 30 days. A CUSUM chart has
been created to monitor the quality of the medical decision pool samples.
CUSUM Chart of medical decision pool samples
0.10

Cumulative Sum

0.05

UCL=0.0406

0.00

LCL=-0.0406

-0.05

-0.10
1

10

13

16
Sample

19

22

25

28

Answer the following questions

a) How do obtain this graph in MINITAB?
b) Document all the calculations needed to find CUSUM points for the first three samples, the
centerline and the control limits. You can use the following supporting calculations

From the table in next page we can get the values for the grand average and the sample standard
deviation

x=

i =1

4.125 + 4.11 + ... + 4.155

= 4.12808
30

S=

0.020817 + 0.01633 + ... + 0.026458

=
= 0.018682
30
m

i =1

We will use a value of c4 = 0.9213 since n = 4 . See appendix table at the end of the handout.
The estimator of the population mean is then

S 0.018682
=
= 0.0202773
c4
0.9213

S H (1) =

S L (1) =

S H (2 ) =

S L (2 ) =

S H (3) =

S L (3) =

UCL =
CL =
LCL =

Day (i)

xi

si

4.1

4.12

4.15

4.13

4.125

0.020817

4.09

4.13

4.11

4.11

4.11

0.01633

4.14

4.13

4.12

4.1

4.1225

0.017078

4.08

4.06

4.08

4.1

4.08

0.01633

4.08

4.07

4.12

4.09

4.09

0.021602

4.12

4.13

4.13

4.1

4.12

0.014142

4.13

4.11

4.11

4.1

4.1125

0.012583

4.1

4.12

4.13

4.12

4.1175

0.012583

4.12

4.12

4.1

4.14

4.12

0.01633

10

4.12

4.14

4.1

4.13

4.1225

0.017078

11

4.21

4.18

4.18

4.12

4.1725

0.037749

12

4.15

4.13

4.15

4.14

4.1425

0.009574

13

4.15

4.14

4.12

4.13

4.135

0.01291

14

4.14

4.13

4.12

4.11

4.125

0.01291

15

4.12

4.12

4.13

4.16

4.1325

0.01893

16

4.13

4.12

4.12

4.12

4.1225

0.005

17

4.11

4.13

4.1

4.12

4.115

0.01291

18

4.16

4.18

4.19

4.2

4.1825

0.017078

19

4.19

4.17

4.15

4.13

4.16

0.02582

20

4.12

4.11

4.17

4.11

4.1275

0.028723

21

4.13

4.16

4.08

4.1

4.1175

0.035

22

4.11

4.12

4.11

4.13

4.1175

0.009574

23

4.12

4.11

4.13

4.13

4.1225

0.009574

24

4.1

4.15

4.11

4.12

4.12

0.021602

25

4.18

4.12

4.12

4.13

4.1375

0.028723

26

4.13

4.13

4.11

4.12

4.1225

0.009574

27

4.17

4.19

4.12

4.13

4.1525

0.03304

28

4.14

4.15

4.11

4.12

4.13

0.018257

29

4.14

4.16

4.12

4.11

4.1325

0.022174

30

4.17

4.18

4.12

4.15

4.155

0.026458

From the chart , we conclude that the process is out of control in the sample 4 since it is the first time
that one of the values is lower than the LCL
The idea is that all the values for S H (i ) and S L (i ) be close to zero. Note that from day 2 the sample
values began to deviate negatively from the mean, until the process went out of control.

The CUSUM is very good at detecting small shifts in the process mean, but it performs poorly at
detecting big shifts. Big shifts in the process mean are better detected with the Shewhart control charts.
Therefore, it is recommended to plot both control charts (CUSUM and one Shewhart) in a quality control
program. For this process, we also created the X and S chart. Note that the CUSUM plots many more
outliers. For example, after samples 4 and 5 the many outliers in the CUSUM chart indicate that the
assignable causes affecting the samples 4 and 5 might be also affecting the future samples.

Xbar-S Chart of 1, ..., 4

1
1

Sample M ean

4.17

U C L=4.1587

4.14

_
_
X=4.1281

4.11
LC L=4.0975
1

4.08

10

13

16
Sample

19

22

25

28

U C L=0.04255

Sample StDev

0.04
0.03

_
S =0.01878

0.02
0.01
0.00

LC L=0
1

10

13

16
Sample

19

22

25

28

EWMA chart for the process mean

The exponentially weighted moving average (or EWMA) control chart is also a good alternative to the
Shewhart control chart when we are interested in detecting small shifts.
The performance of the EWMA control chart is approximately equivalent to that of the cumulative sum
control chart, and in some ways it is easier to set up and operate.
The statistic used in the exponentially weighted moving average chart is based on the weighted average

wi expressed as follows
wi = rxi + (1 r )wi 1

Where

r = Weight given to the current observation

i = The time period

=

w0 = x

A value for r = 0.25 would provide good performance for detecting shifts in the process mean that are
less or equal than one standard deviation.

EWMA control chart parameters

=

UCLi = x + 3

s
c4 n

r
2i
1 (1 r )
2r

wi = rxi + (1 r )wi 1
=

UCLi = x 3

s
c4 n

r
2i
1 (1 r )
2r

Example 2
a) Create a EWMA chart for the process in example 1

Day (i)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

1
4.1
4.09
4.14
4.08
4.08
4.12
4.13
4.1
4.12
4.12
4.21
4.15
4.15
4.14
4.12
4.13
4.11
4.16
4.19
4.12
4.13
4.11
4.12
4.1
4.18
4.13
4.17
4.14
4.14
4.17

2
4.12
4.13
4.13
4.06
4.07
4.13
4.11
4.12
4.12
4.14
4.18
4.13
4.14
4.13
4.12
4.12
4.13
4.18
4.17
4.11
4.16
4.12
4.11
4.15
4.12
4.13
4.19
4.15
4.16
4.18

3
4.15
4.11
4.12
4.08
4.12
4.13
4.11
4.13
4.1
4.1
4.18
4.15
4.12
4.12
4.13
4.12
4.1
4.19
4.15
4.17
4.08
4.11
4.13
4.11
4.12
4.11
4.12
4.11
4.12
4.12

4
4.13
4.11
4.1
4.1
4.09
4.1
4.1
4.12
4.14
4.13
4.12
4.14
4.13
4.11
4.16
4.12
4.12
4.2
4.13
4.11
4.1
4.13
4.13
4.12
4.13
4.12
4.13
4.12
4.11
4.15

xbar

LCL

UCL

4.125
4.11
4.1225
4.08
4.09
4.12
4.1125
4.1175
4.12
4.1225
4.1725
4.1425
4.135
4.125
4.1325
4.1225
4.115
4.1825
4.16
4.1275
4.1175
4.1175
4.1225
4.12
4.1375
4.1225
4.1525
4.13
4.1325
4.155

0.020817
0.01633
0.017078
0.01633
0.021602
0.014142
0.012583
0.012583
0.01633
0.017078
0.037749
0.009574
0.01291
0.01291
0.01893
0.005
0.01291
0.017078
0.02582
0.028723
0.035
0.009574
0.009574
0.021602
0.028723
0.009574
0.03304
0.018257
0.022174
0.026458

4.120479
4.118578
4.117660
4.117178
4.116916
4.116771
4.116690
4.116645
4.116620
4.116605
4.116597
4.116593
4.116590
4.116589
4.116588
4.116588
4.116588
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587
4.116587

4.135687
4.137588
4.138506
4.138989
4.139251
4.139396
4.139477
4.139522
4.139547
4.139561
4.139569
4.139574
4.139576
4.139578
4.139578
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579
4.139579

The parameters for the EWMA chart are in the fourth point of the chart (in gray) are as follows

UCL4 = x + 3

r
0.0187
2(4 )
1 (1 r )
= 4.1280 + 3
2r
0.9213 4

s
c4 n

0.25
2(4 )
1 (1 0.25)
= 4.1389
2 0.25

wi = rxi + (1 r )wi 1 = 0.25(4.08) + (1 0.25)(4.1229) = 4.1121

=

LCL4 = x 3

r
0.0187
2(4 )
1 (1 r )
= 4.1280 3
2r
0.9213 4

s
c4 n

0.25
2(4 )
1 (1 0.25)
= 4.1172
2 0.25

The following is the graph in MINITAB

EWMA Chart of C1, ..., C4

EWMA

4.15

4.14

UCL=4.13964

4.13

_
_
X=4.12808

4.12
LCL=4.11653
4.11
1

10

13

16
Sample

19

22

25

As observed, the graph shows a similar behavior than the CUSUM chart

28

Appendix table. Reproduced from: Scheaffer, Mulekar & McClave Probability and statistics for
engineers