A New Rank‐based Multivariate CUSUM Approach for Monitoring the Process Mean

In many cases, data do not follow a specific probability distribution in practice. As a result, a variety of distribution-free control charts have been developed to monitor changes in the processes. An existing rank-based multivariate cumulative sum (CUSUM) procedure based on the antirank vector does not quickly detect the large shift levels of the process mean. In this paper, we explore and develop an improved version of the existing rank-based multivariate CUSUM procedure in order to overcome the difficulty. The numerical experiments show that the proposed approach dramatically outperforms the existing rank-based multivariate CUSUM procedure in terms of the out-of-control average run length. In addition, the proposed approach particularly resolves the critical problem of the original approach, which occurs in the simultaneous shifts whose components are all the same but not 0. We believe that the proposed approach can be utilized for monitoring real data. Copyright © 2015 John Wiley & Sons, Ltd.