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Effect of Dependency in Systems for Multivariate Surveillance

Journal article
Authors Eva M. Andersson
Published in Communications in Statistics - Simulation and Computation
Volume 38
Issue 3
Pages 454 - 472
ISSN 0361-0918
Publication year 2009
Published at Department of Economics, Statistical Research Unit
Institute of Medicine, School of Public Health and Community Medicine
Pages 454 - 472
Language en
Keywords Dependency, Likelihood ratio, Multivariate, Optimal, Surveillance
Subject categories Statistics


Systems for multivariate on-line surveillance (e.g., outbreak detection) are investigated. Optimal systems for statistical surveillance are based on likelihood ratios. Three systems are compared: based on each marginal density, based on the joint density, and based on the Hotelling's T2. The effect of dependency between the monitored processes is investigated, and the effect of correlation between the change times. When the first change occurs immediately, the three methods give similar delay of an alarm, in the situation with independency. For late changes, T2 has the longest delay, both for independent processes and for processes with a positive covariance.

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