The Performance of MCUSUM Control Charts when the Multivariate Normality Assumption Is Violated
A multivariate cumulative sum (MCUSUM) control chart is one type of multivariate control chart for monitoring the mean vector. A multivariate normal distribution is an important assumption that is used to describe a behavior of a set of quality characteristics of interest. This research explores the sensitivity of ARLs and SDRLs when the MVN assumption is incorrect. ARLs and SDRLs for data from multivariate uniform, beta, and lognormal distributions are estimated and compared to ARLs and SDRLs under the MVN assumption. The ratios of SDRL/ARL are also computed to consider a relationship between ARL and SDRL.
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