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Run Length Variability and Three Sigma

Control Limits
ARTICLE JANUARY 2004
DOI: 10.1515/EQC.2004.175

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c Heldermann Verlag


ISSN 0940-5151

Economic Quality Control

Vol 19 (2004), No. 2, 175 184

Run Length Variability and Three

Sigma Control Limits
K. Govindaraju and C. D. Lai

Abstract: This article provides an argument against the use of three sigma limits for control
charts. An alternative proposal to use control limits narrower than three sigma control limits
is made. The main reason for narrowing the control limits is to achieve a smaller variability
in the frequency of process resetting as well as false alarms. An example is given illustrating
why a good statistical design of control charts needs to avoid the use of three sigma control
limits.
Key Words: Average Run Length, Control Chart, Three Sigma Limit

Introduction

The use of three sigma limits in the Shewhart control chart setting is a very popular
choice in the shop oor. Walter A. Shewhart, the inventor of the control chart technique,
saw an economic advantage in the use of three sigma control limits as the frequency of
false alarms is very small because the control region is very wide (six sigmas or standard
deviations). The other side of the coin of having a wide control region is that the control
chart will not be able to detect small or moderate shifts in the process level quickly.
This disadvantage is often overcome by the use of supplementary run rules or by the
use of time-weighted control charts such as the Exponentially Weighted Moving Average
(EWMA) or Cumulative Sum (CUSUM) charts.
Three sigma limits are not commonly used for EWMA or CUSUM charts in order to
enhance their ability to detect a process level shift of smaller or moderate magnitude.
The avoidance of three sigma limits is common in the literature of economic design of
control charts (see Collani [1] for a review) than in the literature dealing with the design
of charts on statistical grounds involving the average run length (ARL) (see for example
Woodall [13] for a review). Saniga [10] suggested a compromise where a control chart
design rst satises some statistical criteria such as the one involving the ARL and then
achieves the desirable economic properties. Woodall [14] also reviewed the controversies
in the design of control charts, and the criticisms of Wheeler [11] on the concept of ARL
itself are also noteworthy.
The purpose of this article is not to provide a complete discussion of various control chart
design issues, but to provide an argument against the use of three sigma limits for control
charting based on the variability in the frequency of process resetting as well as false
alarms.

176

K. Govindaraju and C. D. Lai

Relationship between Control Chart Signal Rules and Acceptance Sampling Plans

Control charts often use a simple rule for signalling a change in the process level namely
a single plotted point breaching any of the control limits. This applies to the common
Shewhart control charts with three sigma action limits as well as to time weighted control
schemes such as EWMA or CUSUM schemes. In other words, the past process history is
not completely built into the signal rule. It should be noted that the past process history
is built into the denition of the control statistic such as the EWMA or CUSUM but not in
the appropriate chart signal rule. The only exception seems to be with the supplementary
run rules adopted for the Shewhart control charts which are based on a series of plotted
points. The above comments apply to both variables and attribute control charting.
Let p be the probability that a signal for lack of control is issued with a plotted point
in a control chart procedure. In the Shewhart control chart conguration based on the
normal, binomial, Poisson distributions etc, the probability p is constant for any given
process level. But this is not true for CUSUM and EWMA charts or when the process
characteristic is autocorrelated. Nevertheless the assumption of a constant p helps us to
develop an analogy between the signal rules of control charts and the acceptance criteria
of single sampling attribute inspection plans.
In a single sampling attribute plan, a random sample of size n is taken, and the lot is
accepted if the number of nonconforming units is less than the acceptance number Ac. A
zero acceptance number plan calls for all sampled units to be conforming for acceptance
of the lot. In the acceptance sampling literature, zero acceptance number plans are
criticized for their lack of discrimination between good and bad quality lots. This fact is
documented in most textbooks such as Grant and Leavenworth [4], or in journal articles
such as Dodge [2]. The Operating Characteristic (OC) function of the zero acceptance
number plan which gives the probability of acceptance Pa (p) namely
Pa (p) = (1 p)n

(1)

has no point of inection where p stands for the true fraction nonconforming of the lot
or the production process. This is one of the main reasons why an Ac = 0 sampling
inspection plan does not discriminate well between good and bad lots.
The number of times (until signalling) a production process is sampled for control chart
purposes is basically a geometric random variable (assuming that p, the probability of
a single point breaching the control limit, is constant). At a given time, only a limited
number of samples (say s) are available for charting. If all points plot within the action
limits, the chart is interpreted not to issue a signal for lack of control in the process. The
probability of which is given by
(1 p)s

(2)

This expression is equivalent to the OC function of the zero acceptance number single
sampling plan (when s = n) given as equation (1). Hence we would expect the most

Run Length Variability and Three Sigma Control Limits

177

commonly used control chart signal rule (namely declaring a process to be not in control
if the last plotted point breached the control limit) to be less discriminatory for various
levels of the process quality.
In the acceptance sampling literature, it is suggested to avoid Ac = 0 plans and use Ac > 0
plans instead. As the probability of acceptance of a lot is analogous to the probability
declaring a production process as in statistical control, we may extend this suggestion to
control charts. Thus, we should adopt signal rules that are based on at least two plotted
points breaching the control limits. This is in contrast to general practice which assumes
a state of control only if all points are plotted within the control limits (analogous to the
case that all units are conforming in acceptance sampling). In other words, the control
chart signal rule based on a single breach point is analogous to the Ac = 0 plan acceptance
criteria.
For a signal rule based on the last plotted point, the number of samples needed to signal
lack of statistical control (which is equivalent to the run length) is a geometric random
variable RL (the support of the random variable RL being {1, 2, ....}). The ARL of this
geometric variable RL is is given by its rst moment.
E[RL] =

1
p

= ARL

The variance of the geometric run length variable RL is

1p
V [RL] =
= (1 p)ARL2
2
p

(3)

(4)

Hence the standard deviation (SD) of the run length is

SD[RL] = (1 p)ARL

(5)

and the coecient of variation (CV) is given by:

CV[RL] = (1 p)

(6)

Based on equation (5), we can argue that a signal rule based on the last plotted point not
only determines the ARL but also indirectly controls the run length variability.
The need to reduce the run length variability is stressed in the literature by Ryan [8].
Similar remarks were also made in the textbook by Wetherill and Brown [12]. The concept
of run length variability is closely related to the concept of lack of power or discrimination
associated with a signal rule. Borrowing the acceptance sampling practice of avoiding
Ac = 0 plans, control chart signal rules may be modied to see whether this strategy
leads to smaller run length variability. In other words, we conjecture at this stage that
allowing two or more breaches of control limits rather than acting on the rst breach of
the control limit is a preferred approach for reducing the run length variability. This issue
is further analysed in the next section.

178

K. Govindaraju and C. D. Lai

A General Rule of k Breaches for a Signal

Let k be the number of plotted points breaching a set of control limits. The number of
plotted points for signalling lack of control in the process can be modelled using more
general waiting time distributions instead of the geometric distribution. The obvious
candidate for modelling such a signal rule is the negative binomial distribution, which
also assumes a constant p, the probability for a single plotted point breaching the control
limit. For the rule of signalling lack of control on the k th breach of limits, we will use the
following expressions of the negative binomial (run length) random variable RLk (whose
support is {1, 2, ....}). Again, the ARL of the run length RLk is given by its rst
moment.
k
E[RLk ] = = ARL
(7)
p
The standard deviation SD in of RLk is given by


k(1 p)
(1 p)
SD[RLk ]) =
=
ARL
p2
p
and the coecient of variation CV:

1p
CV[RLk ]) =
k

(8)

(9)

When k = 1, the above expressions reduce to the corresponding expressions based on the
geometric distribution. It can be noted that both the ARL and standard deviation are
increasing functions of k, but not the coecient of variation. Hence we see a clear justication against the use of the commonly selected control chart signal rule namely taking
actions if the last plotted point breached the control limits. Since p is the probability of
the last (single) point breaching the control limit, the probability of a signal for lack of
control under the general k breach points rule is expected to be of order pk . In Figure 1,
we compare the ARL (mean in log scale) for various values of k keeping pk the same.
Clearly in terms of achieving a longer ARL, the traditional rule is the preferred choice even
though this is not desirable at unacceptable process levels. However Figure 2 showing the
coecient of variation as a function of pk clearly establishes that a large k substantially
reduces the variability.
The reduction of variability in terms of the coecient of variability is similar to achieving
greater discrimination in the OC curves using large acceptance numbers in the eld of
acceptance sampling. Hence a larger k is desirable in the design of a control chart. Larger
k values achieve a smaller mean for a given pk , and hence a trade-o can be made to
achieve the desired in-control ARL tightening the control region from the traditional
control region width of six sigmas. This fact is illustrated in the next section providing
an example.

Run Length Variability and Three Sigma Control Limits

Figure1: Plot of ARL =

k
p

against pk for various k.

Figure 2: Comparison of the coecient of variation for various k.

179

180

K. Govindaraju and C. D. Lai

Disadvantages of Three Sigma Limits

Ryan [9] provided a critique on the universal use of three sigma control limits and recommended adoption of tighter control limits for certain applications. His recommendation to
avoid three sigma limits is not based on the excessive variability in the run lengths and,
therefore, this paper provides a more general argument against the use of three sigma
limits versus Ryans [9] suggestion to avoid them only for certain applications.
The traditional Shewhart chart achieves an in-control ARL of about 370 under the assumption of iid normal distribution for the plotted control statistics (such as the individual
values, mean, proportion nonconforming etc). For illustration, we will use the Individuals
chart (I-chart) conguration and discuss the eect of k points breaching the control limits.
Let the process quality characteristic be normally distributed with unit standard deviation
( = 1). Hence the three sigma control limits will be 3 for the I-chart. The usual k = 1
point breaching rule signals a change in the process level if the plotted point breaches the
3 control limits. If the true process mean remains at zero, then the probability of a
false alarm is given by
+3
1 2
(10)
1 12 e 2 u du = 0.0027
3
1
In other words, the ARL at = 0 is about 0.0027
 370 (the in-control ARL). The ARL
drops from 370 if the true process mean is dierent from zero.

Instead of the single (last) plotted point breaching the control limits, let us assume that
a signal for change in is signalled only if k = 2 plotted points (one of the points being
the last plotted one) breach the control limits say Lk .
Setting the right hand side of equation (7) as 370, and solving for p, we get p =
Hence, the control limits are obtained by solving the following equation.
+L2


1
2

1 2

e 2 u du = 0.0054

2
.
370

(11)

L2

yielding L2 = 2.782 so that the probability of a single point breaching the control limits
2
.
is kept at p = 370
Figure 3 compares the ARL performance of the 3 limits (k = 1 rule) and 2.782 limits
(k = 2 rule). Both rules achieve the same in-control ARL (when there is no shift in the
process level). A mild extra delay in detecting a process level shift is seen with the k = 2
rule. However the run length variability is greatly reduced with the k = 2 rule (see Figure
4).

Run Length Variability and Three Sigma Control Limits

Figure 3: Comparison of ARL for 3 sigma and 2.782 sigma limits.

Figure 4: Comparison of CV for 3 sigma and 2.782 sigma limits.

181

182

K. Govindaraju and C. D. Lai

It is easy to see that when k is large, the control region in the chart becomes narrower
than 3sigma. Table 1 shows the eect of k on narrowing the control region for various
in-control ARLs (7). The associated values of the standard deviation (8) are also shown.
From Table 1, we make an important observation that the commonly used three sigma
limits are not useful for reducing the run length variability. Economic design methodologies in the literature already discourage the use of any xed sigma limits. This paper
provides an argument in the framework of statistical design of control charts for not using
the three sigma limits and suggests adoption of a more exible k points rule for signalling
a change in the process quality.
Table 1: Comparison of Lk for various in-control ARLs
k
1
2
3
4
5
6
7
8
9
10
k
1
2
3
4
5
6
7
8
9
10

Lk
3.090
2.878
2.748
2.652
2.576
2.512
2.457
2.409
2.366
2.326
Lk
2.576
2.326
2.170
2.054
1.960
1.881
1.812
1.751
1.695
1.645

p
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0.016
0.018
0.02
p
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1

ARL
500
500
500
500
500
500
500
500
500
500
ARL
100
100
100
100
100
100
100
100
100
100

SD
500
353
288
249
222
203
188
175
165
157
SD
99
70
57
49
44
40
36
34
32
30

k
1
2
3
4
5
6
7
8
9
10
k
1
2
3
4
5
6
7
8
9
10

Lk
3.000
2.782
2.648
2.549
2.470
2.404
2.348
2.297
2.252
2.212
Lk
2.807
2.576
2.432
2.326
2.241
2.170
2.108
2.054
2.005
1.960

p
0.0027
0.0054
0.0081
0.0108
0.0135
0.0162
0.0189
0.0216
0.0243
0.027
p
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05

ARL
370
370
370
370
370
370
370
370
370
370
ARL
200
200
200
200
200
200
200
200
200
200

SD
370
261
213
184
165
150
139
130
122
116
SD
199
141
115
99
88
80
74
69
65
62

It is also possible that the k points rule is modied to avoid a signal for lack of control if
the plotted points are not on the same side of the central line. The run length variability
reduction with increasing k is true irrespective of this modication or for other types of
chart, c-chart etc. The
charts. The arguments given in this section are also valid for X
empirical arguments given in this paper just require p the probability of a plotted point
breaching the control limit to be roughly a constant. This is true for most Shewhart
control chart procedures.

Run Length Variability and Three Sigma Control Limits

183

Further Research Work

The arguments presented in this paper on the variability in run length assume a constant
probability for a point plotting outside the control limits. This is not true for EWMA
and CUSUM procedures. However, limited simulations performed by the authors suggest
that the traditional k = 1 rule is also not useful for EWMA and CUSUM procedures. The
run length variability is somewhat large for EWMA (see the tables given by Jones and
Champ [5]) and CUSUM procedures (see Jones et al [6]). This can be brought down if
these charts are not interpreted based on a single (last) point breaching the control limits.
The authors are currently studying the conjectured results in the context of EWMA and
CUSUM schemes. This includes an optimum choice of k when the design criteria required
detection of a specied level of shift quicker ensuring a desired in-control ARL.
The concept of ARL can be interpreted only for a long production length (period). For
short or medium production periods, an adjustment is needed. The authors found that the
multiple run sampling theory used in acceptance sampling literature (see Govindaraju and
Lai [3]) provides a solution to the ARL and SD issues of control charts for short production
period. The research work is being communicated elsewhere.
The rules for acceptance or rejection used in various types of acceptance sampling plans
can be translated as signal rules for process control. For example, the acceptance rule
of ChSP-1 type of chain sampling plan of Dodge [2] was adopted for control charting
by Kuralmani et al. [7]. More research on the commonality in the general theory of
control charting and acceptance sampling is required even though the intended practical
applications of these two methodologies are quiet dierent.

References
[1] v. Collani, E. (1989): The Economic Design of Control Charts, BG Teubner,
Stuttgart, Germany.
[2] Dodge, H. F. (1955): Chain Sampling Inspection Plan. Industrial Quality Control,
11, 10-13.
[3] Govindaraju, K. and Lai, C. D: (1999) Design of multiple sampling plan, Communications in Statistics: Simulation and Computation, 28, 1-11.
[4] Grant, E. L. and Leavenworth, R. S. (1996): Statistical Quality Control, Seventh
Edition, The McGraw-Hill Companies, Inc., New York, NY.
[5] Jones, L. A. and Champ, C. W. (2001): The Performance of Exponentially
Weighted Moving Average Charts with Estimated Parameters, Technometrics, 43,
156-167.

184

K. Govindaraju and C. D. Lai

[6] Jones, L. A., Champ, C. W., and Rigdon, S. E. (2004): The Run Length Distribution of the CUSUM with Estimated Parameters, Journal of Quality Technology,
36. 95-108.
[7] Kuralmani, V., Xie, M., Goh, T. N., and Gan, F. F. (2002): A Conditional Decision
Procedure for High Yield Processes, IIE Transactions, 34, 1021-1030.
[8] Ryan, T. P. (1997): Ecient Estimation of Control Chart Parameters. Frontiers
in Statistical Quality Control. Vol. 5, Lenz, H-J.; Wilrich, P-T. Eds., Springer.
[9] Ryan, T. P. (1997): A Discussion on Statistically-Based Process Monitoring and
Control, Journal of Quality Technology, 29, 148-156.
[10] Saniga, E. M. (1989): Economic Statistical Control-chart Designs with an Appli
cation to Xand
R Charts, Technometrics 31, 313-320.
[11] Wheeler, D. J. (2000): Discussion of Woodall, W. H. (2000), Controversies and
Contradictions in Statistical Process Control, Journal of Quality Technology, 32,
361-363.
[12] Wetherill, G. B. and Brown, D. W. (1991): Statistical Process ControlTheory and
Practice, Chapman and Hall, London.
[13] Woodall, W. H. (1985): The Statistical Design of Quality Control Charts, The
Statistician, 34, 155-160.
[14] Woodall, W. H. (2000): Controversies and Contradictions in Statistical Process
Control, (with discussion), Journal of Quality Technology, 32, 341-378.

K. Govindaraju (k.govindaraju@massey.ac.nz)
C. D. Lai (c.lai@massey.ac.nz)
Institute of Information Sciences and Technology
Massey University
Palmerston North
New Zealand