Scandinavian Working Papers in Economics

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

No 2009:1: Evaluation of multivariate surveillance

Marianne Frisén (), Eva Andersson () and Linus Schiöler ()
Additional contact information
Marianne Frisén: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG
Eva Andersson: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG
Linus Schiöler: Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Statistical Research Unit, Göteborg University, Box 640, SE 40530 GÖTEBORG

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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