Abstract
Multivariate CUSUM charts have been widely used as statistical-process-control tools to detect out-of-control states of monitoring variables. Most of earlier studies regarding multivariate CUSUM charts assume that observations of monitoring variables are independent or correlated with a limited structure. In this paper, we suggest a multivariate CUSUM chart that can handle the observations auto- and cross-correlated. The chart estimates its control limitanalytically and captures small mean shifts faster when compared to existing charts.
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