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Sufficient reduction in multivariate surveillance

Author

Listed:
  • Frisén, Marianne

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Andersson, Eva

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Schiöler, Linus

    (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)

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.

Suggested Citation

  • Frisén, Marianne & Andersson, Eva & Schiöler, Linus, 2009. "Sufficient reduction in multivariate surveillance," Research Reports 2009:2, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    • Handle: RePEc:hhs:gunsru:2009_002
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    File URL: http://hdl.handle.net/2077/20937
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    change-points; exponential family; MEWMA; monitoring; inference principles;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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