Evaluation of multivariate surveillance

Marianne Frisén, Eva Andersson and Linus Schioler

Journal of Applied Statistics, 2010, vol. 37, issue 12, 2089-2100

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; EWMA; false alarms; FDR; performance metrics; predictive value; steady state; zero state (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Working Paper: Evaluation of multivariate surveillance (2009)
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DOI: 10.1080/02664760903222208

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