The Efficiency of the New Extended EWMA Control Chart for Detecting Changes Under an Autoregressive Model and Its Application

Control charts are frequently used instruments for process quality monitoring. Another name for the NEEWMA control chart is the new extended exponentially weighted moving average (new extended EWMA) control chart. The lower control limit (LCL) and upper control limit (UCL) are equally spaced from the center line, giving it a symmetrical design. Because of its symmetry, the NEEWMA chart is very good at identifying even the tiniest changes in operation by detecting deviations from the target in both upward and downward directions. This study derives an explicit formula for the average run length (ARL) of the NEEWMA control chart based on the autoregressive (AR) model with exponential white noise. The focus is on the zero-state performance of the NEEWMA control chart, which is derived using explicit formulas. Banach’s fixed-point theorem was used to prove existence and uniqueness of this formula. The accuracy of this formula is validated by comparing it to the numerical integral equation (NIE) method using percentage accuracy (%Acc). The results show that the NEEWMA control chart is more efficient than the ARL evaluated by the NIE method, particularly regarding computation time. The performance of the NEEWMA control chart is compared with the EWMA and extended EWMA control charts by evaluating both the ARL and standard deviation run length (SDRL). The NEEWMA control chart outperforms the others in detection performance, followed by the extended EWMA and EWMA control charts. Further verification of its superior performance is provided through comparisons using the average extra quadratic loss (AEQL) and the performance comparison index (PCI), which confirm that it outperforms both the EWMA and extended EWMA control charts across various parameters and shift sizes. Finally, an illustrative example using real-life economic data demonstrates its efficiency.