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Title: A CUSUM scheme for autocorrelated observations
Authors: Atienza, O.O.
Tang, L.C. 
Ang, B.W. 
Keywords: Autocorrelation
Cumulative sum control charts
Statistical process control
Time series analysis
Issue Date: Apr-2002
Citation: Atienza, O.O.,Tang, L.C.,Ang, B.W. (2002-04). A CUSUM scheme for autocorrelated observations. Journal of Quality Technology 34 (2) : 187-199. ScholarBank@NUS Repository.
Abstract: The cumulative sum (CUSUM) chart is known to be effective at detecting sustained shifts in the process mean. Unfortunately, its performance deteriorates when the process observations are autocorrelated. To eliminate the effect of autocorrelation in monitoring changes in the mean, the CUSUM chart is typically applied on the residuals of the chosen time-series model for the process observations. As an alternative, we develop a CUSUM scheme for detecting a step change in the process mean that directly utilizes the autocorrelated process observations. Analysis shows that the performance of the proposed scheme is very competitive when compared with the Shewhart and CUSUM charts based on residuals.
Source Title: Journal of Quality Technology
ISSN: 00224065
Appears in Collections:Staff Publications

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