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Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg Resarch Reports

No 2011:5:
INFERENCE PRINCIPLES FOR MULTIVARIATE SURVEILLANCE

Marianne Frisén ()

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; (follow links to similar papers)

JEL-Codes: C44; (follow links to similar papers)

15 pages, March 29, 2011

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This paper is forthcoming as:
Frisén, Marianne, 'INFERENCE PRINCIPLES FOR MULTIVARIATE SURVEILLANCE', Calcutta Statistical Association Bulletin.



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