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Sufficient reduction in multivariate surveillance

Report
Authors Marianne Frisén
Eva M. Andersson
Linus Schiöler
Publisher University of Gothenburg
Place of publication Göteborg
Publication year 2009
Published at Department of Economics, Statistical Research Unit
Language en
Links hdl.handle.net/2077/20937
Keywords change-points, exponential family, MEWMA, monitoring, inference principles
Subject categories Statistics

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.

Page Manager: Webmaster|Last update: 9/11/2012
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