Scandinavian Working Papers in Economics
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Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg Resarch Reports

No 2009:1:
Evaluation of multivariate surveillance

Marianne Frisén (), Eva Andersson () and Linus Schiöler ()

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; (follow links to similar papers)

JEL-Codes: C10; (follow links to similar papers)

14 pages, May 15, 2009

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This paper is published as:
Frisén, Marianne, Eva Andersson and Linus Schiöler, (2010), 'Evaluation of multivariate surveillance', Journal of Applied Statistics, pages 2089-2100

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