Evaluation of multivariate surveillance
Marianne Frisén,
Eva Andersson () and
Linus Schiöler
Additional contact information
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
Linus Schiöler: 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 2009:1, Research Reports from University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law
Abstract:
Multivariate surveillance is of interest in many areas such as industrial production, bioterrorism detection, spatial surveillance, and financial transaction strategies. Some of the suggested approaches to multivariate surveillance have been multivariate counterparts to the univariate Shewhart, EWMA, and CUSUM methods. Our emphasis is on the special challenges of evaluating multivariate surveillance methods. Some new measures are suggested and the properties of several measures are demonstrated by applications to various situations. It is demonstrated that zero-state and steady-state ARL, which are widely used in univariate surveillance, should be used with care in multivariate surveillance.
Keywords: average run length; delay; EWMA; false alarms; FDR; performance metrics; predictive value; steady state; zero state (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2009-05-15
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Published as Frisén, Marianne, Eva Andersson and Linus Schiöler, 'Evaluation of multivariate surveillance' in Journal of Applied Statistics, 2010, pages 2089-2100.
Downloads: (external link)
http://hdl.handle.net/2077/20296 (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hhs:gunsru:2009_001
Access Statistics for this paper
More papers in Research Reports from University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law Statistical Research Unit, University of Gothenburg, Box 640, SE 40530 GÖTEBORG.
Bibliographic data for series maintained by Linus Schiöler ( this e-mail address is bad, please contact ).