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Evaluation of multivariate surveillance

机译：多元监测评估

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摘要

Multivariate surveillance is of interest in many areas such as industrial production, bioterrorism detection, spatial surveillance, and financial transaction strategies. Some of the suggested approaches to multivariate surveillance have been multivariate counterparts to the univariate Shewhart, EWMA, and CUSUM methods. Our emphasis is on the special challenges of evaluating multivariate surveillance methods. Some new measures are suggested and the properties of several measures are demonstrated by applications to various situations. It is demonstrated that zero-state and steady-state ARL, which are widely used in univariate surveillance, should be used with care in multivariate surveillance.
机译：多变量监视在许多领域都受到关注，例如工业生产，生物恐怖主义检测，空间监视和金融交易策略。一些建议的多变量监视方法与单变量Shewhart，EWMA和CUSUM方法的多变量对应。我们的重点是评估多元监视方法的特殊挑战。提出了一些新的措施，并通过在各种情况下的应用证明了几种措施的性质。结果表明，在单变量监视中广泛使用的零状态和稳态ARL在多变量监视中应谨慎使用。

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  • 来源
    《Journal of applied statistics》 |2010年第12期|p.2089-2100|共12页
  • 作者

    Marianne Frisen; Eva Andersson; Linus Schioeler;

  • 作者单位

    Statistical Research Unit, Department of Economics, University of Gothenburg, Gothenburg, SE 40530, Sweden;

    Statistical Research Unit, Department of Economics, University of Gothenburg, Gothenburg, SE 40530, Sweden,Department of Occupational and Environmental Medicine, Sahlgrenska University Hospital and Sahlgrenska Academy, University of Gothenburg, Gothenburg, SE 40530, Sweden;

    Statistical Research Unit, Department of Economics, University of Gothenburg, Gothenburg, SE 40530, Sweden;

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  • 正文语种 eng
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  • 关键词

    average run length; EWMA; false alarms; FDR; performance metrics; predictive value; steady state; zero state;

    机译：平均行程EWMA;错误警报;FDR;性能指标;预测价值;稳定状态;零状态;

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