Abstract
This article compares the performances between two different multivariate EWMA schemes of statistical process control. According to the order in which the schemes are constructed, the conventional multivariate EWMA approach (Lowry et al., 1992) can be called EWMA-M, and the alternative approach can be called M-EWMA. The former approach is well known, and the latter is new. Using integral equation method, we compute the average run length (ARL) of the M-EWMA scheme and compare the results with that of the conventional EWMA-M scheme reported in the literature. For different shift sizes of interest, the optimal exponential weights for M-EWMA are proposed in a similar way to what was given for EWMA-M.
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