Hotelling´s T2 Method in Multivariate On-line Surveillance. On the Delay of an Alarm
AbstractA system for detecting changes in an on-going process is needed in many situations. On-line monitoring (surveillance) is used in early detection of disease outbreaks, of patients at risk and of financial instability. By continually monitoring one or several indicators, we can, early, detect a change in the processes of interest. There are several suggested methods for multivariate surveillance, one of which is the Hotellingâs T2. Since one aim in surveillance is quick detection of a change, it is important to use evaluation measures that reflect the timeliness of an alarm. One suggested measure is the expected delay of an alarm, in relation to the time of change () in the process. Here we investigate a delay measure for the bivariate situation. Generally, the measure depends on both change times (i.e. 1 and 2). We show that, for a bivariate situation using the T2 method, the delay only depends on 1 and 2 through the distance 1-2.
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Bibliographic InfoPaper provided by Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg in its series Research Reports with number 2008:3.
Length: 15 pages
Date of creation: 28 Nov 2008
Date of revision:
Contact details of provider:
Postal: Statistical Research Unit, University of Gothenburg, Box 640, SE 40530 GÖTEBORG
Web page: http://www.statistics.gu.se/
Monitoring; On-line; Surveillance; T2; Timeliness;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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