Scandinavian Working Papers in Economics
Research Reports,
University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law
No 2009:2: Sufficient reduction in 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: 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
JEL-codes: C10
18 pages, August 31, 2009
Full text files
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- Published as
- Marianne Frisén, Eva Andersson and Linus Schiöler, (2011), 'Sufficient reduction in multivariate surveillance', Communications in Statistics. Theory and Methods, pages 1821-1838
- University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law
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