Hotelling's T' control chart with adaptive sample sizes

Some quality control schemes have been develope9 when several related quality
characteristics are to be monitored: simultaneous X charts, Hotelling's T~ chart,
multivariate CUSUM and multivariate EWMA. Hotelling's T~ control chart has
the advantage of its simplicity but it is slow in detecting small process shifts. The
latest developments in variable sample sizes for univariate control charts are
applied in this paper to define an adaptive sample sizes T' control chart. As occurs
in the univariate case the ARL improvements are very important particularly for
small process shifts. An example is given to illustrate the use of the proposed
scheme.

1. Introduction
In industrial situations control charts are often used to observe whether a process
is in control. When there is one quality characteristic Shewhart control charts are
usually applied to monitor process shifts. But there are many situations in which the
simultaneous control of two or more related quality characteristics is necessary. For
example, the quality control of some dimensions of a part. In these cases it is still
possible to design a statistical process control for all quality characteristics employing
Shewhart control charts but there are other feasible multivariate schemes.
As a n example of how to control several variables with y charts, let us consider a
part which has two quality characteristics, represented by the variables X I and X2
normally distributed. First we consider the case where both characteristics are
independent. If the two variables are monitored separately a univariate 2 chart
with, for example, 3-sigma limits can be constructed for each characteristic. Each
chart has a probability of exceeding 3-sigma control limits a = 0.0027 (the type I
error). The probability that both variables fall inside the control time when the
process is in control is (1 - 0.0027)(1 - 0.0027)= 0,994607. So the overall type I
error for this case is a' = I - 0.994607 = 0.0054. If there are p statistically indepen-
dent quality characteristics and charts with a type I error are used, the real type I
error a' is

So if we want to fix the type I error for the process as a whole, havingp independent
variables, equation (I) can be used to calculate the suitable type error for each chart,
and then, to obtain the correct control limits.
If the variables are not independent, which is the most common case, a more
complex process has to be employed to obtain the control limits to have a n a' value.
For simplicity, let us continue with the bivariate case supposing that the variables
follow a bivariate normal distribution with mean vector = ( p O , l r ~ O , Zand
)

Revision received November 1995.

t Departamento de Estadistica e I. O., Universidad Politecnica. Apartado 22012, 46071
Valencia, Spain.
0020-7543196 $12.00 0 1996 Taylor & Francis Ltd.
2854 F. Apcrrisi

covariance matrix

and 2 charts are used. Then an cr value has to be calculated such that

wherc rl is the sample size and f ( z l , r2) is the joint density function of a bivariate
standard normal distribution with correlation, p. So the control limits are
I I , , , ~ f cr ~ ~ , ~ /for +
\ / fi iIand j10.2 n uo,:/fi for y2.
Another solution to the problem of controlling several variables was provided by
Hotelling (1947). Consider 1) correlated characteristics are being measured simulta-
neously and these characteristics follow a multivariate normal distribution with mean
) covariance matrix Enwhen the process is in
vector /I; = ( I I ~ , ~ , I I. ~. ,,jJ~, 0. , ~and
control. When ;I ith sample of size 11 is taken we haven values of each characteristic
and it is possible 10 calculate the ,pi vector, which represents the ith sample average
vcctor for thc p characteristics.
The charting statistic

is called Hotelling's T 2 statistic. T: is distributed as a chi-square variate with p

degrees of freedom. Notice that T: > 0.
When the process is in control, pi = /LO,there is a probability cu that this statistic
cxceeds a critical point $,,, so that the overall error rate (type I) can be maintained
exactly at the level cu by triggering a signal when T; > ,y&,. It is common practice to
suggest the use of a Shewhart type ,y2control chart (Fig. I) with an upper control limit
(CL)ofx;,,, (see, e.g. Jackson (1959), Jackson (1985) and Alt (1985)). If pi # /LO,T: is
distributed as a non-central chi-squared distribution with p degrees of freedom and
with non-centrality parameter X = II(/L~ - I ~ o ) ' C - I ( p i- pO). This scheme corre-
sponds to the likelihood ratio test for H0 : pi = /LO vs H , : p i # /lo.
Recently multivariate CUSUM and multivariate EWMA schemes has been
defined showing better power than T~ chart specially for small or nioderate process
shifts. (Crosier 1988, Pignatello and Runger (1990) and Lowry er (11. 1992). In the
univariate case the use of adaptive sample sizes in the f chart produces a scheme so
powerful or more than univariate CUSUM or EWMA. Therefore the objective of this
paper is to define the T 2 control chart with adaptive sample sizes to improve the
power of the original T 2 chart.

2. Design of the T' control chart with adaptive sample sizes

The design of univariate Shewhart charts with adaptive sample sizes has been
studied by Burr (1969), Daudin (1992), Prabhu et (11. (1993) and Costa (1994). We are
 Figure I. Hotelling's T 2 control chart.

going to follow the process developed by these authors, adapting it for the Hotelling's
T' control chart.
The statistic T? = n ( f j - p o ) ' C - ' ( z j- pO) is charted with control limit
CL = Xi,,,. A value of ct = 0.005 has been used for this paper. This n value has
been widely employed in the multivariate statistical process references. Two sample
sizes have been used, nl and 112, 11: > t i l . We shall define a warning limit IV, where
0 < nJ < C L as a threshold limit that identifies when to shift from one sample size to
another (Fig. 2). The sample size of subgroup i depends on the value of T L I . If
T:, < II' and ith subgroup sample size is 11,. If 1,: < T:-~ < C L the ith subgroup
sample size is 112. Let us define d as the shift in the process means
'1 = J ( p - pO)'C - 1 (11 - /lo) where LL is the mean vector of the p characteristics
when there is a change in one or more means. Observe that X = r l d 2 and that r l is the
Mahalanobis distance used as a measure of process shift in multivariate quality
control.

CL

Figure 2. Hotelling's T' control chart with adaptive sample sizes.

2856 F. Aparisi

Therefore the T~ control chart with adaptive sample sizes is defined as follows:

Control limit: CL = x 2 ~ , ~ = ~ . ~ ~ ~
nl if T', <w
Sample size: ni =
n2 if MI < T: I < CL
If T? > X;,,,=,,.OO~then we say that the process is out of control.
The CL for different p values are

T o compare different quality control schemes the average run length (ARL) is
widely used as a measure of effectiveness. ARL is the expected number of samples
taken until a signal of out of control appears. When the process is in control a large
ARL is desired. However small ARL values are needed when the process is out of
control to detect the shift quickly. The ARL value is easily determined when there is a
shift c/ as

where p = P(T? < CL/d).

We assume to compare a T~ fixed sample size chart (no sample size) with a T~
variable sample size chart (nl and n2 sample sizes). The values of nl and n2 are selected
in conjunction with w to obtain an average sample size no, nl < no < n2, when the
process is in control. When the process is in control the ARL does not depend on
sample size because the distribution of T? does not depend on it. So if we have an
equal average sample size when the process is in control the two schemes are
equivalent in terms of ARL and in terms of average sample size. In this case
ARLd,0 = I/a = 1/0.005 = 200 for both schemes. When d # 0 the distribution of
T? does depend on sample size and large sample sizes implies better ARL.

3. Minimizing the ARL

As we said the ARL value depends on the d parameter. ARL(d) can be computed
using a Markov chain. Brook and Evans (1972), Prabhu et al. (1993) and Costa (1994)
used this approach to calculate ARL of univariate quality control charts. The
fundamental concepts of Markov chains used in this paper can be found in Cinlar
(1975).

Let state I represents the state where T: < w.

Let state 2 represents the state where w < T? < CL.
Let state 3 represents the state where T? > CL. The state 3 is an absorbing state.
 Horelling's T 2 cor~irolchuri with adapiive surnple sizes 2857

Consider the transition probability matrix for a given d

For example P;',2 is the transition probability from state 1 to state 2, that is, with a
sample size n , , Ti2 falls in zone [ w , CL] when there is a shift d.

where X I = n , d 2
Then

where I = (i)
and B = ( b l ,b2) is the vector of initial state probabilities. Hence
b l + b2 = I. Qd is the 2 x 2 probability transition matrix where the elements
associated with the absorbing state have been deleted. I is the identity matrix of
order 2.
As the average sample size is to be no, an integer number, this implies that

Let us notice that b l = P(X; < 1 9 ) . b , is the cumulative probability below IV. So we
can write equation (8) as follows:

where X 2 = n2d2 .
Hence A R L depends on p, ti], d , n, and n2. W e pretend to minimize the A R L for
given no, p and d . T o compute the probability terms of equation (10) we need to use
the cumulative probability functions of a chi-square distribution, F(.u,p), and of a
non-central chi-square distribution, G ( x ; p ,A ) . Expressions for these functions can be
found in Johnson and Kotz (1969):
Therefore equation (10) may be written as

3.1 . Mit~itniir~tiotl
proccss
We have minimized the ARL for the following cases: p = 2, 3, 4 and 5 variables.
/I,, = 2, 3, 4, 5 and 7. (1 = 0.5, I . 1.5 and 2.
We have to find the values of n., t i , and rip 111 takes continuous values and 11, and 112
take integer values. The possible values of 11, are rrl = I . . . (no - 1) and 11, takes a
value from equation (9) for a given 11, and I V equals to

This equation has to yield an integer value.

The direct minimization of equation (13) with the considered restrictions seems to
be impossible. We have looked for the minimum computing of the ARL for different
combinations of hl, 111 and ti2. We have used the following hl value: 0.95, 0.9, 0.85,
0.8, 0.75,0.7,0.65,0.6,0~55,0.5,0.45and 0.4. A computer program for MATHCAD
v. 4.0 was written to calculate A RLs using equation (13).

A R L (Double A R L (Fixed E(N) (Double E ( N ) (Fixed

11" d 11. 11, 11~ sample size sample size) sample size) sample size)
2 0.5 5.9925 1 21 38.68 76.89 102.14 153.78
1 4.6052 1 ll 6.25 18.49 21.4 36.98
1.5 3.2189 1 6 2.86 5.77 9.15 1 1.54
2 1.3863 1 3 2 2.5 1 4.87 5.02
3 0.5 5.9925 1 41 19.23 55.34 8 1.82 166.02
1 3.2189 1 ll 4.07 10.51 20.14 3 1.53
1.5 3.2189 2 7 2.12 3.18 9.25 9.54
2 1.3863 2 4 1.49 1.56 4.94 4.68
4 0.5 4.6052 1 31 13.02 4 1.93 84.48 167.72
1 3.2189 2 12 3.15 6.88 20.45 27.52
1.5 3.2189 3 8 1.75 2.16 9.29 8.64
2 1.3863 3 5 1.25 1.23 5.22 4.92
5 0.5 4.6052 1 41 10.09 32.96 78.62 164.8
1 3.2189 3 13 2.65 4.93 20.49 24.65
1.5 3.2189 4 9 1.52 1.67 9.34 8.35
2 1.3863 4 6 1.12 1.1 5.7 5.5
7 0.5 3.2189 1 31 7.03 21.99 82.66 153.93
1 2.7728 4 16 2.07 3.02 20.86 21.14
1.5 2.7728 6 10 1.24 1.24 9.38 8.68
2 1,3863 6 8 1.02 I .02 7.17 7.14

Tablc I. A R L and E(N) comparisons between double sample size and fixed sample size
schemes for two variables (a = 0.005)
 Hotelling's T~ ro1ltr.01cliurt with adoptive srrniple sizes 2859

A R L (Double A R L (Fixed E ( N ) (Double E ( N ) (Fixed

11, d 11. 11, 11, sample size sample size) sample size) sample size)
2 0.5 7,8159 1 21 49.13 91.37 123.62 182.74
1 6,2531 1 II 7.42 23.94 24.88 47.88
1.5 4.6417 1 6 3.2 7.34 10.28 14.68
2 4,1089 1 5 2.09 3.02 6.09 6.04
3 0.5 7.8159 1 41 22.63 68 94.38 204
1 4.6417 1 II 4.65 13.62 23.18 40.86
1.5 4.6417 2 7 2.33 3.9 10.27 9.27
2 4.1089 2 6 1.6 1.76 6.27 5.28
4 0.5 6.2531 1 31 15.94 52.61 101.26 2 10.44
1 4,6417 2 I2 3.59 8.82 23.36 35.28
1.5 4.6417 3 8 1.9 2.55 10.22 10.2
2 2,366 3 5 1.32 1.33 5.59 5.32
5 0.5 6.2531 1 41 11.61 4 1.92 90.84 209.6
1 4.1089 2 1 2.94 6.23 22.66 31.15
1.5 4,6417 4 9 1.63 1.91 10.2 1 9.55
2 2.366 4 6 1.16 1.15 5.96 5.75
7 0.5 6.2531 2 52 8.37 28.39 9 1.28 198.73
1 4.1089 4 16 2.26 3.69 22.96 25.83
1.5 4,1089 6 10 1.31 1.35 10.07 9.45
2 2.366 6 8 1.03 1.03 7.26 7.21

Table 2. A R L and E ( N ) comparisons between double sample size and fixed sample size
schemes for three variables ( o = 0.005).

A R L (Double A R L (Fixed E ( N ) (Double E ( N ) (Fixed

11" d 11. 11, 11, sample size sample size) sample size) sample size)

Table 3. A R L and E ( N ) comparisons between double sample size and fixed sample size
schemes for four variables (o = 0.005).
2860 F. Aparisi

A R L (Double A R L (Fixed E ( N ) (Double E ( N ) (Fixed

I 11, 11, sample size sample size) sample size) sample size)
1 10.65
33.47
10.36
4.02
86.27
19.36
5.3 1
2.17
68.98
12.51
3.33
1.52
56.28
8.73
2.37
1.25
39.29
5.00
1.55
1.05

Table 4. A R L and E ( N ) comparisons between double sample size and fixed sample size
schemes for five variables ( a = 0.005).

Tables 1, 2, 3 and 4 show the results for two, three, four and five correlated
variables respectively. The Tables show the A R L using a variable sample size versus
the A R L using a fixed sample size for comparison purposes. Many times, the
improvements (decreases) in the A R L are great especially for small d values. This
means a lower mean time to detect an out of control situation. It may be observed that
for smaller d values the warning limit w has to be located closer to the control limit.
For this reason n2 values are high in these cases but, if the process is in control, these
large sample sizes are needed with very low frequency. If the process has shifted, these
large sample sizes allow the scheme to detect the problem quickly.
Sometimes, when the process shift is important (i.e. d = 2), the A R L values are
slightly larger for the double sample size scheme. However these differences are very
small and are widely compensated by the improvements for small d values.
On the other hand we have to consider the average number of items to be
inspected until the schemes indicate the process shift. Denote this average number of
items by E ( N ) . It is an important parameter for comparing quality control costs
because, as the number of items to be inspected increases, the control quality costs
increase rapidly. For the fixed sample size scheme E ( N ) is easily determined by
multiplying the A R L times the sample size no. That is
E( N)~i.wdsmrzple size = A R L (I5)
For the double sample size scheme we again need to use the Markov chain
properties. For this case,
E ( N ) ~ o u h , sr n m p ~.rix = B(I - Q~)-'Z (16)
where ti = ($.
 Hotellirgs T~ control chart with adaptive sa~nplesizes 286 1

Figure 3. Part for the example of application

Again the double sample size scheme is much better for small (1 values because i t is
necessary for fewer items until the process shift is detected. Only f o r d values equals to
1.5 and 2 and for 110 2 4 does the double sample size scheme need slightly more items.

4.An example of an application

Suppose we have to control the three dimensions of the part shown in Fig. 3.

po = ( :)
When the process is in control the mean vector and the covariance matrix are:

; - 0.2 0.054 0.162

(0G54 0.09 0 0 4 2 )
0.162 0.042 0.31
We decide to have the best protection against a shift in the Mahalanobis distance
equal to I, c l = I. The following mean vectors, as example, are (1 = 1 from the in-
control mean.

An in-control sample size equals to 2 (no = 2) is going to be used and the type I error n.
is fixed at 0.005. So Table 3 shows that we have to use the following control scheme:
Charting statistic: T: = n(Xi - pO)' x-l(fi
- po)

Control limit: CL = 12,8488

Warning limit: \I: = 6.2531
Sample sizes: 171 = 1; 112 =II

Hence if T:-, < I V the ith sample size will be 1. If 11, < T:-, < CL the ith sample sizes
is I I. Using this scheme the ARL improvement (7.42 against 23.94) is more than three
times. If we consider the amount of pieces to be examined until the shift is detected, an
average of 24.88 pieces are needed when the double sample size method is used instead
of an average of 47.88 is a fixed sample size method is employed.
2862 HotellirigZ T~ control chcrrt n~itlroduptive sa~iiplesizes

Acknowledgement
T h e a u t h o r wish t o t h a n k t h e referees for their thoughtful suggestions t h a t
improved t h e final version o f this paper.

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