Communications in StatisticsSimulation and Computation

, 37: 16961708, 2008

Copyright Taylor & Francis Group, LLC
ISSN: 0361-0918 print/1532-4141 online
DOI: 10.1080/03610910701832459
Quality Control
A Double Moving Average Control Chart
MICHAEL B. C. KHOO AND V. H. WONG
School of Mathematical Sciences, Universiti Sains Malaysia,
Penang, Malaysia
The double exponentially weighted moving average (DEWMA) technique has been
investigated in recent years for detecting shifts in the process mean and has been
shown to be more efcient than the corresponding exponentially weighted moving
average (EWMA) technique. In this article, we extend the DEWMA technique of
performing exponential smoothing twice to the double moving average (DMA)
technique by computing the moving average twice. Using simulation, we show
that our proposed DMA chart improves upon the ARL performance of the moving
average (MA) chart in detecting mean shifts of small to moderate magnitudes. It is
also shown through simulation that, generally, the DMA charts with spans, n = 10
and 15 provide comparable average run length (ARL) performances to the EWMA
and cumulative sum (CUSUM) charts, designed for detecting small shifts.
Keywords Average run length (ARL); CUSUM chart; DEWMA chart; DMA
chart; EWMA chart; MA chart; Shewhart chart.
Mathematics Subject Classication 62P30.
1. Introduction
The MA, EWMA, and CUSUM are memory control charts which are superior
to the Shewhart chart when the detection of small process shifts are of interest
because they use information about a process contained in the entire sequence of
points as opposed to the Shewhart chart which uses only the information given in
the last sample. This feature makes memory control charts more sensitive to small
process shifts in the mean, say, with a magnitude of about 1.5o or less, compared
to the Shewhart chart (Montgomery, 2005). The CUSUM chart is based on the
cumulative sum of differences between the values observed and the average. On the
contrary, the MA and EWMA charts are based on two different weighted average
schemes. To date, numerous extensions on the EWMA and CUSUM charts have
been made. However, most research articles dealing with quality control charts pay
Received January 4, 2007; Accepted November 28, 2007
Address correspondence to Michael B. C. Khoo, School of Mathematical Sciences,
Universiti Sains Malaysia, 11800 Minden, Penang, Malaysia; E-mail: mkbc@usm.my
1696
A Double Moving Average Control Chart 1697
little attention to MA charts. Some of the limited research on MA charts that are
found in the literature are briey reviewed in the next paragraph.
Control plans which consist of a group of moving averages of various sizes
are proposed by Sparks (2003) for process monitoring. These control plans have
good ARL properties over a range of location shifts. Wong et al. (2004) developed
simple design procedures and provided step-by-step guidelines for the MA chart and
the combined MA-Shewhart scheme for easy implementation by process engineers.
Simulation method, integral equation approach, and curve tting techniques were
used in the development of the design procedures. Plots were provided for easy
selection of the optimal parameters of the charts. The combined MA-Shewhart
scheme was recommended for a greater sensitivity in detecting large shifts but this
scheme is less sensitive in detecting small shifts. Khoo and Yap (2004) proposed the
use of a single MA chart for a joint monitoring of the process mean and variance
by combining the X and S charts into a single chart. This MA chart can detect
both increases and decreases in the process mean and/or variance. The design of
an MA chart for fraction non conforming as a superior alternative to the standard
chart was suggested by Khoo (2004). Approximations by means of mathematical
calculations and the corresponding simulation results for the ARL proles showed
that the MA chart for fraction non conforming has a better performance than the
standard chart. Chen and Yang (2002) proposed an extension of the Banerjee
and Rahims model for developing an economically based MA control chart where
the process failure mechanism follows a Weibull distribution and the cost model
utilizes a variable scheme instead of xed sampling lengths in a continuous ow
process. Yu and Wu (2004) showed a detailed development of an economic design
for a variable sampling interval (VSI) MA chart and demonstrated that the VSI
MA chart outperforms the xed sampling interval (FSI) MA chart in terms of the
loss cost. An economic model of an MA chart with multiple assignable causes was
suggested by Chen and Yu (2003) who showed via a sensitivity analysis that the
parameters, such as the magnitude of a shift, increasing cost when the process is
out-of-control, and the rate of occurrence of assignable causes, should be given more
attention for estimating the parameters for the calculation of loss cost. Yu and Chen
(2005) also discussed the development of an MA chart from an economic viewpoint
and obtain similar conclusions to that of Chen and Yu (2003), in their sensitivity
analysis. Sparks (2004) illustrated the advantage of using weighted moving averages
(WMA) for early detection of deviations from the target, particularly when the size
of the shift is known in advance. The WMA plans have comparable performance
to the CUSUM or EWMA plans. The advantage of the WMA plans is their ability
to detect shifts of a known magnitude earlier than the other methods and hence
are more informative in describing step changes. Zhang et al. (2004) provided some
useful discussion on the average run lengths of MA control charts and showed that
the formula for computing the ARL of an MA chart given in Wetherill and Brown
(1991) is incorrect but it may provide an upper bound for the ARL. Dyer et al.
(2003) proposed the reverse moving average control chart as a new forecast-based
monitoring scheme, compared it to the traditional methods used in the various
ARMA(1,1), AR(1), and MA(1) processes and provided recommendations on the
most suitable chart to use in numerous situations when charting autocorrelated
processes.
The purpose of this article is to propose a DMA control chart as an alternative
to the standard MA control chart. Using simulation to compute the ARL values,
1698 Khoo and Wong
we show that the DMA control chart performs better than the MA chart in the
detection of small to moderate shifts in the process mean, based on individual
measurements and subgrouped data. The performance of the DMA charts with
spans, n = 10 and 15, are shown to be comparable to that of the EWMA and
CUSUM charts in the detection of small shifts. This article is motivated by
the works of Shamma et al. (1991), Shamma and Shamma (1992), Zhang et al.
(2003), and Zhang and Chen (2005), where all dealt with the DEWMA technique.
This article is organized as follows. Section 2 gives an overview of the MA
control chart while Section 3 discusses our proposed DMA chart. In Sec. 4, a
simulation study is conducted to evaluate the performance of the new DMA chart in
comparison to that of the MA, EWMA, and CUSUM charts. A motivating example
is presented in Sec. 5 to illustrate the implementation of the DMA chart. Finally,
Sec. 6 concludes and summarizes the ndings and outcomes of the article.
2. An Overview of a Moving Average Control Chart
The moving average (MA) chart is a time weighted control chart. Suppose that
subgroup averages, X
1
. X
2
. . . . , are obtained where X
i
= (X
i1
+X
i2
+ +X
in
)n
is the ith subgroup average and n is the subgroup size. Here, it is assumed
that X
i;
N(j. o
2
), for i = 1. 2. . . . , and ; = 1. 2. . . . . n. The MA statistic of span
n at time i computed from the subgroup averages X
i
. X
i1
. . . . . is dened as
(Montgomery, 2005):
MA
i
=
X
i
+X
i1
+ +X
in+1
n
(1)
for i n. For periods i - n, we do not have n subgroup averages to compute a MA
of width n. For these periods, the average of all subgroups up to period i denes the
MA. When the process is in-control, the mean and variance (for i n) of MA
i
are:
E(MA
i
) = E(X
i
) = j
0
(2)
and
Vor(MA
i
) =
1
n
2
i

;=in+1
Vor(X
;
) =
1
n
2
i

;=in+1
o
2
n
=
o
2
nn
. (3)
respectively, where j
0
denotes the in-control value of the process mean. The control
limits of the MA chart are:
UCLLCL = j
0

3o

nn
(4)
for i n. For periods i - n, the limits of the MA chart are:
UCLLCL = j
0

3o

n i
. (5)
A Double Moving Average Control Chart 1699
3. A Proposed Double Moving Average Control Chart
This section discusses the construction of a double moving average (DMA) chart
which is based on computing the MA of the subgroup averages twice. The MA
statistic of span n at time i for a sequence of subgroup averages is computed
using Eq. (1), for i n, while for i - n, the MA is computed as the average of all
subgroup averages up to period i. The computation of the DMA statistic of span n
at time i is:
DMA
i
=
MA
i
+MA
i1
+ +MA
in+1
n
(6)
for i n. For the case of i - n, the DMA statistic is computed to be the average
of all MAs up to period i.
Assume that the underlying distribution of a process follows a normal, N

j. o
2

distribution. From Eq. (6), the mean of the DMA

i
statistic for i n, based on an
in-control process is:
E(DMA
i
) =
1
n
E

;=in+1
MA
;

=
1
n
(nj
0
) = j
0
. (7)
i.e., the same as for periods i - n. It is easily shown that the variance of the DMA
i
statistic for n > 2 is as follows:
Vor(DMA
i
) =

o
2
n i
2
i

;=1
1
;
. i n
o
2
nn
2

n1

;=in+1
1
;
+(i n +1)

1
n

. n - i - 2n 1
o
2
nn
2
. i 2n 1.
(8)
Note that for n = 2, Vor(DMA
i
) is computed using only the rst and third lines
of Eq. (8).
The control limits of the DMA chart for n > 2 are:
UCLLCL =

j
0

Lo
i

;=1
1
;
. i n
j
0

Lo
n

n1

;=in+1
1
;
+(i n +1)

1
n

. n - i - 2n 1
j
0

Lo
n

n
. i 2n 1
(9)
The limits of the DMA chart for n = 2 are computed based on the rst and third
lines of Eq. (9). L is a multiplier that controls the width of a DMA chart. The value
of the constant L for all subgroup sizes, n 1 is chosen based on desired values
of the in-control ARL (ARL
0
) and n. The values of L for selected ARL
0
s and
n = 2. 3. 4. 5. 10, and 15, obtained through simulation are displayed in Table 1.
1700 Khoo and Wong
Table 1
L Values for a DMA chart for selected ARL
0
s and n for all subgroup sizes, n 1
L
ARL
0
n = 2 n = 3 n = 4 n = 5 n = 10 n = 15
100 3.064 3.474 3.778 4.136 4.836 5.213
150 3.245 3.695 4.055 4.444 5.313 5.776
200 3.361 3.844 4.238 4.649 5.668 6.349
250 3.453 3.959 4.376 4.805 5.924 6.638
300 3.528 4.050 4.491 4.923 6.125 7.086
350 3.594 4.131 4.587 5.029 6.312 7.442
370 3.616 4.160 4.623 5.066 6.337 7.487
400 3.646 4.187 4.665 5.121 6.431 7.728
450 3.691 4.251 4.727 5.192 6.553 7.996
500 3.731 4.303 4.787 5.256 6.658 8.038
550 3.770 4.349 4.837 5.313 6.755 8.104
600 3.801 4.389 4.882 5.364 6.847 8.332
650 3.831 4.427 4.930 5.408 6.930 8.484
700 3.859 4.459 4.967 5.451 7.002 8.639
750 3.886 4.495 5.010 5.491 7.069 8.683
800 3.908 4.522 5.041 5.527 7.118 8.726
850 3.932 4.551 5.073 5.564 7.178 8.779
900 3.949 4.575 5.102 5.606 7.233 8.832
950 3.969 4.601 5.132 5.639 7.285 8.891
1000 3.991 4.627 5.158 5.667 7.324 9.003
These values enable an easy implementation of the DMA chart by process
engineers. Here, simulation is employed because the entries in Table 1 are more
difcult to obtain using the Markov chain approach.
If the desired in-control values of the mean, j
0
, and standard deviation, o, of
the underlying distribution are unknown, they are estimated as:
j
0
= X =

m
i=1
X
i
m
(10)
and
o =
R
J
2
=

m
i=1
R
i
m
J
2
or o =
S
c
4
=

m
i=1
S
i
m
c
4
. (11)
respectively, where X is the grand subgroup average, R the average subgroup range,
S the average subgroup standard deviation, and m the number of subgroups in a
preliminary data set assumed to be in-control. In the case of individual measurements,
if the desired values of j
0
and o are not available, they are estimated as:
j
0
= X =

g
i=1
X
i
g
(12)
A Double Moving Average Control Chart 1701
and
o =
MR
1.128
=

g
i=2
MR
i
(g 1)

1.128
or o =
S
c
4
. (13)
respectively. Here, MR
i
= X
i
X
i1
, for i = 2. 3. . . . . g, is the moving range of two
observations, S =

g
i=1
(X
i
X)
2
g1
the subgroup standard deviation and g the number
of observations in a preliminary data set assumed to be in-control.
A DMA chart is constructed by plotting the DMA
i
statistics computed based
on the formula in Eq. (6) on the chart with limits given by UCL/LCL in Eq. (9).
In general, the magnitude of a shift of interest and n are inversely related. Smaller
shifts would be protected against more effectively by a bigger value of n at the
expense of slower response to larger shifts.
4. An Evaluation of the Performance of the DMA Chart
A simulation study is performed using SAS version 8 to evaluate the performance
of the DMA chart. The performance of the DMA chart will be compared with the
MA chart, as well as that of the EWMA and CUSUM charts. The DMA and MA
charts are considered for spans of n = 2. 3. 4. 5. 10, and 15. The ARL
0
of the DMA,
MA, EWMA, and CUSUM charts are set at the same value of 200.
The underlying process for the in-control situation is assumed to follow a
standard normal, N(0,1) distribution while the out-of-control process a normal,
N(o,1) distribution. Here, the mean of the underlying process shifts from j = j
0
to
j = j
0
+oo. A downward shift in the mean for the case of o - 0 will also yield
similar results and is not considered in this simulation study. The performance of
the DMA chart in comparison to that of the MA, EWMA and CUSUM charts is
evaluated for the case of individual measurements (n = 1) and subgrouped data of
sizes, n = 5 and 10.
The limits of the MA chart are computed using Eqs. (4) and (5) but with a width
of Ko
MA
instead of the usual 3o
MA
, where o
MA
= o

nn for i n and o
MA
=
o

ni for i - n. Using simulation we obtain K = 2.776. 2.747. 2.703. 2.667. 2.513,

and 2.399 for n = 2. 3. 4. 5. 10, and 15, respectively, for all subgroup sizes, n, so
that ARL
0
= 200. Eq. (9) is used to compute the limits of the DMA chart, where
L = 3.361. 3.844. 4.238. 4.649. 5.668, and 6.349 are obtained from Table 1 based on
ARL
0
= 200 and n = 2. 3. 4. 5. 10, and 15, respectively.
The EWMA chart is constructed by plotting (Montgomery, 2005)
Z
i
= zX
i
+(1 z)Z
i1
. i = 1. 2. . . . . (14)
based on the limits
UCLLCL = j
0
M
o

z
2 z
. (15)
where the values of the smoothing constant, z ]0.05. 0.10. 0.15. 0.20. 0.30. 0.50]
are considered. Note that a smaller value of z will make the EWMA chart more
sensitive in the detection of a small shift. The values of M which correspond to z
are obtained through simulation, i.e., M ]2.204. 2.445. 2.559. 2.627. 2.708. 2.777]
1702 Khoo and Wong
for all subgroup sizes, n, so that ARL
0
= 200. Here, M controls the width of the
EWMA chart.
The following statistics (Montgomery, 2005) are used to plot the CUSUM chart:
C
+
i
= max

0. X
i
(j
0
+N) +C
+
i1

i
= max

0. (j
0
N) X
i
+C

i1

.
(16)
where the starting values are C
+
0
= C

0
= 0 and
N =
o

o
2

n
=
j
1
j
0

2
. (17)
Here, o

is the magnitude of a shift, measured in terms of the number of

standard deviation units, where a quick detection is desired. The CUSUM chart
is designed based on o

]0.2. 0.4. 0.6. 0.8. 1.0. 1.5. 2.0]. The values of the decision
interval, H, determined through simulation, that correspond to these values of
o

are H ]11.0147. 7.8090. 6.0620. 4.9463. 4.1616. 2.9310. 2.2156] for all subgroup
sizes, n. An out-of-control signal is detected if either C
+
i
or C

i
exceeds H.
Table 2
ARL proles for the DMA control chart based on ARL
0
= 200
Span, n
Subgroup Shift, 2 3 4 5 10 15
size, n o (L = 3.361) (L = 3.844) (L = 4.238) (L = 4.649) (L = 5.668) (L = 6.349)
1 0 199.8 199.9 199.8 199.6 200.1 200.2
0.2 141.4 128.7 117.7 104.4 90.1 71.5
0.4 72.8 59.1 50.7 38.5 34.9 25.7
0.6 38.2 28.3 24.1 17.4 16.9 15.5
0.8 20.7 16.0 14.0 10.4 13.0 12.1
1.0 12.7 10.1 9.2 7.6 10.2 10.7
1.5 5.2 4.8 4.9 5.1 6.8 8.2
2.0 3.0 3.2 3.5 3.9 4.9 6.1
5 0 199.7 199.9 201.8 198.2 195.2 199.7
0.2 61.9 48.5 42.0 30.7 29.6 29.4
0.4 16.2 12.5 11.2 8.7 11.3 14.2
0.6 6.5 5.7 5.7 5.7 7.5 9.4
0.8 3.7 3.7 4.0 4.4 5.5 6.5
1.0 2.6 2.8 3.1 3.5 4.3 4.9
1.5 1.6 1.8 2.0 2.2 2.7 3.0
2.0 1.1 1.3 1.4 1.6 2.0 2.2
10 0 199.6 199.9 198.0 199.0 194.7 197.7
0.2 33.8 22.5 21.9 15.4 17.4 19.5
0.4 7.4 6.3 6.1 6.0 8.0 10.2
0.6 3.3 3.4 3.7 4.1 5.2 6.0
0.8 2.2 2.5 2.7 3.0 3.7 4.2
1.0 1.7 1.9 2.1 2.3 2.9 3.2
1.5 1.1 1.2 1.3 1.5 1.9 2.1
2.0 1.0 1.0 1.0 1.0 1.2 1.5
A Double Moving Average Control Chart 1703
Table 3
ARL Proles for the MA control chart based on ARL
0
= 200
Span, n
Subgroup Shift, 2 3 4 5 10 15
size, n o (K = 2.776) (K = 2.747) (K = 2.703) (K = 2.667) (K = 2.513) (K = 2.399)
1 0 200.1 199.9 199.9 200.1 200.4 200.3
0.2 147.4 137.5 128.8 123.0 98.0 87.5
0.4 82.5 69.1 59.3 52.7 38.2 32.0
0.6 44.7 34.5 28.4 25.0 18.2 15.8
0.8 25.2 18.6 15.8 14.1 10.7 9.5
1.0 15.2 11.7 9.8 8.8 7.1 6.5
1.5 5.8 4.7 4.2 4.0 3.5 3.3
2.0 3.0 2.7 2.5 2.5 2.3 2.1
5 0 199.5 202.0 201.8 199.2 197.9 199.7
0.2 70.8 57.7 48.8 43.7 30.9 26.5
0.4 19.6 15.0 12.4 11.0 8.6 7.7
0.6 7.6 6.0 5.3 4.9 4.3 4.0
0.8 3.9 3.3 3.1 3.0 2.7 2.5
1.0 2.4 2.2 2.1 2.1 2.0 1.8
1.5 1.3 1.3 1.3 1.3 1.2 1.2
2.0 1.0 1.0 1.0 1.0 1.0 1.0
10 0 198.3 202.4 198.7 199.8 198.0 201.1
0.2 40.4 31.1 25.6 22.5 16.3 14.4
0.4 8.6 6.7 5.9 5.5 4.7 4.3
0.6 3.4 2.9 2.8 2.7 2.5 2.3
0.8 1.9 1.8 1.8 1.8 1.7 1.6
1.0 1.4 1.4 1.4 1.3 1.3 1.2
1.5 1.0 1.0 1.0 1.0 1.0 1.0
2.0 1.0 1.0 1.0 1.0 1.0 1.0
The ARL proles computed using simulation are presented in Tables 25 for
the DMA, MA, EWMA, and CUSUM charts, respectively. Each ARL value is
based on an average of 5,000 simulated trials. The results in Tables 2 and 3 clearly
show that the DMA chart based on individual measurements provides superior
performance to its MA counterpart for small to moderate (0.2 o 0.8) shifts in
the mean. For example, when n = 3 and n = 1, the ARL prole for the DMA chart
is ]128.7. 59.1. 28.3. 16.0] for o ]0.2. 0.4. 0.6. 0.8] while the corresponding ARL
prole for the MA chart is ]137.5. 69.1. 34.5. 18.6], where the former ARL prole
has lower values than the latter. The DMA chart is only slightly less sensitive than
the MA chart for big shifts, say o 1.5. For this case, the out-of-control ARL
(ARL
1
) of the DMA chart is only slightly bigger than that of the MA chart.
For the case of subgrouped data, the DMA chart is still more sensitive than
the MA chart towards small shifts but the two charts are comparable for moderate
shifts. For big shifts, the MA chart is only slightly better than the DMA chart. In
general, for both the DMA and MA control charts with the same magnitude of a
shift o, the value of ARL
1
decreases as n increases. The percentage of improvement
in the ARL
1
performance of the DMA chart for a xed magnitude of a small shift,
say o = 0.2, is much higher than that of the MA chart as n increases. For example,
1704 Khoo and Wong
Table 4
ARL Proles for the EWMA control chart based on ARL
0
= 200
Smoothing constant, z
Subgroup Shift, 0.05 0.10 0.15 0.20 0.30 0.50
size, n o (M = 2.204) (M = 2.445) (M = 2.559) (M = 2.627) (M = 2.708) (M = 2.777)
1 0 200.1 200.1 200.1 200.1 200.0 200.0
0.2 71.2 80.6 90.6 98.9 113.3 137.8
0.4 29.2 31.5 35.1 39.3 48.5 67.4
0.6 17.3 17.3 18.2 19.5 23.2 33.3
0.8 12.1 11.5 11.6 12.1 13.7 18.6
1.0 9.3 8.5 8.3 8.4 9.0 11.6
1.5 6.0 5.2 4.8 4.7 4.6 5.0
2.0 4.4 3.8 3.5 3.3 3.1 3.0
5 0 195.0 195.6 197.1 194.8 194.2 200.0
0.2 25.2 26.4 29.0 32.0 39.1 55.9
0.4 10.6 9.9 9.7 10.0 10.9 14.8
0.6 6.7 5.9 5.5 5.4 5.4 6.3
0.8 4.9 4.3 3.9 3.7 3.6 3.7
1.0 4.0 3.4 3.1 2.9 2.7 2.5
1.5 2.7 2.3 2.1 1.9 1.7 1.5
2.0 2.1 1.9 1.7 1.5 1.2 1.1
10 0 194.1 195.6 195.4 195.5 192.2 196.6
0.2 16.0 15.8 16.5 17.7 21.0 30.1
0.4 7.2 6.3 6.0 5.9 5.9 7.0
0.6 4.6 4.0 3.7 3.5 3.2 3.3
0.8 3.5 3.0 2.7 2.5 2.3 2.1
1.0 2.9 2.4 2.2 2.0 1.8 1.6
1.5 2.0 1.8 1.6 1.4 1.2 1.1
2.0 1.8 1.2 1.1 1.0 1.0 1.0
when o = 0.2 and n = 1, the ARL
1
values for the MA chart are 147.4 and 123.0 for
n = 2 and 5, respectively (see Table 3), while the corresponding ARL
1
values for
the DMA chart in Table 2 are 141.4 and 104.4, respectively. Here, there is only a
reduction of 16.6% in the ARL
1
value for the MA chart compared to a decrease of
26.2% for the DMA chart, when n increases from 2 to 5. From the above discussion,
it can be concluded that the DMA chart is superior to the MA chart in most of the
situations.
The performances of the DMA versus EWMA charts are compared using the
results in Tables 2 and 4. It is observed that the performance of the DMA chart with
n = 10 and 15 is comparable to that of the EWMA chart with z = 0.05 and 0.10
in the detection of a small shift, say o = 0.2, for all subgroup sizes, n. For a small
shift of o = 0.2, the EWMA chart with z ranging from 0.05 to 0.15, outperforms
the DMA chart with n = 2. 3. 4, and 5. For this case, the superiority of the EWMA
chart to the DMA chart is more pronounced for n = 1 but gradually decreases as
n increases. Overall, if the detection of a small shift is of great importance, then
both the DMA (with n = 10 and 15) and EWMA (with z = 0.05) charts produce
comparable out-of-control ARL performances, irrespective of the subgroup size, n.
However, note that both the charts can be made to be even more sensitive toward
A Double Moving Average Control Chart 1705
Table 5
ARL proles for the CUSUM control chart based on ARL
0
= 200
o

0.2 0.4 0.6 0.8 1.0 1.5 2.0

Subgroup Shift,
H =
Size, n o (11.0147) (7.8090) (6.0620) (4.9463) (4.1616) (2.9310) (2.2156)
1 0 200.1 200.0 200.1 200.0 200.0 200.0 200.0
0.2 75.7 78.8 85.1 95.6 105.3 126.0 142.3
0.4 34.9 32.7 33.7 37.6 42.2 56.0 72.0
0.6 22.4 19.4 18.5 19.2 20.5 26.2 35.0
0.8 16.5 13.6 12.4 12.3 12.5 14.7 18.6
1.0 13.0 10.5 9.3 8.8 8.7 9.4 11.6
1.5 8.5 6.7 5.7 5.2 4.9 4.6 4.9
2.0 6.4 5.0 4.2 3.8 3.5 3.1 2.9
5 0 200.8 197.6 194.2 197.7 196.7 198.4 199.3
0.2 30.7 28.1 28.8 31.0 34.1 45.9 59.3
0.4 14.6 11.9 10.8 10.4 10.4 11.8 14.7
0.6 9.6 7.5 6.6 6.0 5.7 5.6 6.1
0.8 7.2 5.6 4.7 4.3 3.9 3.6 3.6
1.0 5.7 4.4 3.8 3.3 3.0 2.7 2.5
1.5 3.1 3.0 2.5 2.2 2.1 1.7 1.5
2.0 2.1 2.3 2.0 1.8 1.6 1.2 1.1
10 0 201.8 198.0 197.4 197.8 196.7 199.3 198.7
0.2 21.1 18.0 17.2 17.5 18.5 23.5 31.4
0.4 10.1 8.1 7.0 6.5 6.2 6.1 6.9
0.6 6.8 5.2 4.5 4.0 3.7 3.3 3.2
0.8 5.1 3.9 3.3 2.9 2.7 2.3 2.1
1.0 4.2 3.2 2.7 2.3 2.2 1.8 1.6
1.5 2.2 2.2 2.0 1.7 1.5 1.1 1.1
2.0 1.9 2.0 1.5 1.2 1.0 1.0 1.0
smaller shifts of say, o - 0.2 by using a bigger span, n for the DMA chart and a
smaller smoothing constant, z for the EWMA chart.
A comparison of the results in Tables 4 and 5 for the EWMA vs. CUSUM charts
reveals that generally the EWMA schemes have similar performances to the CUSUM
schemes in detecting small shifts of magnitude o = 0.2 and 0.4. Likewise, for o = 0.2
and 0.4, the DMA chart with n = 10 and 15 produces comparable performances to
the CUSUM scheme that gives the smallest out-of-control ARL, irrespective of the
subgroup size, n. For example, if o = 0.2 and n = 5, the CUSUM scheme with the
smallest ARL
1
is that with o

= 0.4, which gives ARL

1
= 28.1 (see Table 5). From
Table 2, we notice that the corresponding ARL
1
s for the DMAchart are 29.6 and 29.4
for n = 10 and 15, respectively, where they are quite close to 28.1.
5. An Example of Application
In this section, we will illustrate how the proposed DMA chart is constructed based
on the data taken from Montgomery (2005). The data consists of 30 individual
1706 Khoo and Wong
Table 6
Values of individual measurements and their
corresponding MA
i
s and DMA
i
s
Measurement, i X
i
MA
i
DMA
i
1 9.45 9.45 9.4500
2 7.99 8.72 9.0850
3 9.29 8.91 9.0267
4 11.66 9.5975 9.1694
5 12.16 10.11 9.3575
6 10.18 10.256 9.5187
7 8.04 10.266 9.8279
8 11.46 10.70 10.1859
9 9.20 10.208 10.3080
10 10.34 9.844 10.2548
11 9.03 9.614 10.1264
12 11.47 10.30 10.1332
13 10.51 10.11 10.0152
14 9.40 10.15 10.0036
15 10.08 10.098 10.0544
16 9.37 10.166 10.1648
17 10.62 9.996 10.1040
18 10.31 9.956 10.0732
19 8.52 9.78 9.9992
20 10.84 9.932 9.9660
21 10.90 10.238 9.9804
22 9.33 9.98 9.9772
23 12.29 10.376 10.0612
24 11.50 10.972 10.2996
25 10.60 10.924 10.4980
26 11.08 10.96 10.6424
27 10.38 11.17 10.8804
28 11.62 11.036 11.0124
29 11.31 10.998 11.0176

30 10.52 10.982 11.0292

denotes an out-of-control signal.

measurements where the rst 20 of them assumed to be in-control are drawn
randomly from a normal distribution with mean, j = 10 and standard deviation,
o = 1. The last 10 measurements are drawn from an out-of-control process which
follows a normal distribution with mean, j = 11 and standard deviation, o = 1.
We are interested in setting up a DMA chart, using n = 5. The DMA
i
s of these
measurements are computed using Eq. (6), for i 5. Note that for i - 5, DMA
i
is calculated as the average of the moving averages for periods 1. 2. . . . . i. Table 6
displays the values of the 30 measurements and their corresponding MA
i
s and
DMA
i
s.
The control limits of the DMA chart are computed using Eq. (9). Note that
L = 5.066 (see Table 1) is used to compute the limits of the DMA chart so that the
A Double Moving Average Control Chart 1707
Table 7
UCLs and LCLs for the DMA chart with n = 5
Measurement, i 1 2 3 4 5 6 7 8 9
UCL 15.0660 13.1023 12.2865 11.8280 11.5310 11.2340 11.1022 11.0382 11.0132
LCL 4.9340 6.8977 7.7135 8.1720 8.4690 8.7660 8.8978 8.9618 8.9868
ARL
0
of the chart is approximately 370. The values of these limits are summarized
in Table 7. The DMA chart plotted using the DMA
i
statistics in Table 6 and the
limits in Table 7 is shown in Fig. 1. The DMA chart detects out-of-control signals
for measurements 29 and 30. Following the detection of an out-of-control signal
at i = 29, a further investigation of the underlying process has to be carried out to
identify possible presence of special causes so that corrective actions can be made.
6. Conclusion
The DMA control chart performs better than the MA chart for the detection of
small to moderate shifts in the mean. For detecting big shifts, the performances
of the two charts are comparable even though the MA chart is slightly more
sensitive. The DMA chart with n = 10 and 15 gives a comparable performance to
the EWMA and CUSUM charts, designed for detecting small shifts. The DMA
chart is suggested as a supplementary control charting procedure to the existing
memory control charts. The example of application in Sec. 5 presents a simple, yet
Figure 1. A DMA control chart with n = 5.
1708 Khoo and Wong
useful illustration to process engineers concerning the setting up of a DMA chart.
The DMA chart proposed in this article serves as an impetus for further analytical
study on its run length distributions and properties.
Acknowledgment
This work is supported by the Universiti Sains Malaysia, Short Term Research
Grant, no. 304/PMATHS/637011.
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