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

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

JEL-codes: C10

14 pages, May 15, 2009

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Marianne Frisén, Eva Andersson and Linus Schiöler, (2010), 'Evaluation of multivariate surveillance', Journal of Applied Statistics, pages 2089-2100

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