Multivariate CUSUM Quality-Control Procedures

It is a common practice to use, simultaneously, several one-sided or two-sided CUSUM procedures of the type proposed by Page (1954). In this article, this method of control is considered to be a single multivariate CUSUM (MCUSUM) procedure. Methods are given for approximating parameters of the distribution of the minimum of the run lengths of the univariate CUSUM charts. Using a new method of comparing multivariate control charts, it is shown that an MCUSUM procedure is often preferable to Hotelling's TZ procedure for the case in which the quality characteristics are bivariate normal random variables.