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Hotelling´s T2 Method in Multivariate On-line Surveillance. On the Delay of an Alarm

Report
Authors Eva M. Andersson
Publisher University of Gothenburg
Place of publication Göteborg
Publication year 2008
Published at Department of Economics, Statistical Research Unit
Language en
Keywords Monitoring, On-line, Surveillance, T2, Timeliness
Subject categories Statistics

Abstract

A 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 Hotelling’s 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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