A modified two-sided cumulative sum (MOCUSUM) quality control scheme is proposed that improves CUSUM (cumulative-sum) in average run length (ARL) properties. The MOCUSUM scheme is based on single cumulative sum that may be positive or negative and hence can be generalized to multivariate MOCUSUM scheme easily. In this scheme, the ‘large’ CUSUM values are shrunk towards zero, but the ‘small’ CUSUM values are updated away from zero. The design and monitoring procedure for MOCUSUM is discussed along with signal resistance and ARL through Markov chain approximation. Algorithms (in R-language) for the MOCUSUM monitoring and computing of ARL are provided.
Key words: ARMA, average run length, CUSUM, inertia, signal resistance, modified CUSUM.
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