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INFERENCE PRINCIPLES FOR MULTIVARIATE SURVEILLANCE

Marianne Frisén

No 2011:5, Research Reports from University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law

Abstract: Multivariate surveillance is of interest in industrial production as it enables the monitoring of several components. Recently there has been an increased interest also in other areas such as detection of bioterrorism, spatial surveillance and transaction strategies in finance. Multivariate counterparts to the univariate Shewhart, EWMA and CUSUM methods have earlier been proposed. A review of general approaches to multivariate surveillance is given with respect to how suggested methods relate to general statistical inference principles. Multivariate on-line surveillance problems can be complex. The sufficiency principle can be of great use to find simplifications without loss of information. We will use this to clarify the structure of some problems. This will be of help to find relevant metrics for evaluations of multivariate surveillance and to find optimal methods. The sufficiency principle will be used to determine efficient methods to combine data from sources with different time lag. Surveillance of spatial data is one example. Illustrations will be given of surveillance of outbreaks of influenza.

Keywords: Sequential; Surveillance; Multivariate; Sufficiency (search for similar items in EconPapers)
JEL-codes: C44 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2011-03-29
New Economics Papers: this item is included in nep-ecm and nep-ict
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Forthcoming as Frisén, Marianne, 'INFERENCE PRINCIPLES FOR MULTIVARIATE SURVEILLANCE' in Calcutta Statistical Association Bulletin, 2012.

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