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 2009:2:
Sufficient reduction in multivariate surveillance

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

Abstract: The relation between change points in multivariate surveillance is important but seldom considered. The sufficiency principle is here used to clarify the structure of some problems, to find efficient methods, and to determine appropriate evaluation metrics. We study processes where the changes occur simultaneously or with known time lags. The surveillance of spatial data is one example where known time lags can be of interest. A general version of a theorem for the sufficient reduction of processes that change with known time lags is given. A simulation study illustrates the benefits or the methods based on the sufficient statistics.

Keywords: change-points; exponential family; MEWMA; monitoring; inference principles; (follow links to similar papers)

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

18 pages, August 31, 2009

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This paper is published as:
Frisén, Marianne, Eva Andersson and Linus Schiöler, (2011), 'Sufficient reduction in multivariate surveillance', Communications in Statistics. Theory and Methods, pages 1821-1838

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