Hotelling´s T2 Method in Multivariate On-line Surveillance. On the Delay of an Alarm

Eva Andersson ()
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Eva Andersson: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG

No 2008:3, Research Reports from University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law

Abstract: A system for detecting changes in an on-going process is needed in many situations. On-line monitoring (surveillance) is used in early detection of disease outbreaks, of patients at risk and of financial instability. By continually monitoring one or several indicators, we can, early, detect a change in the processes of interest. There are several suggested methods for multivariate surveillance, one of which is the Hotelling’s T2. Since one aim in surveillance is quick detection of a change, it is important to use evaluation measures that reflect the timeliness of an alarm. One suggested measure is the expected delay of an alarm, in relation to the time of change ( ) in the process. Here we investigate a delay measure for the bivariate situation. Generally, the measure depends on both change times (i.e. 1 and 2). We show that, for a bivariate situation using the T2 method, the delay only depends on 1 and 2 through the distance 1- 2.

Keywords: Monitoring; On-line; Surveillance; T2; Timeliness (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2008-11-28
New Economics Papers: this item is included in nep-ecm
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