Fast subset scan for multivariate event detection.

We present new subset scan methods for multivariate event detection in massive space-time datasets. We extend the recently proposed 'fast subset scan' framework from univariate to multivariate data, enabling computationally efficient detection of irregular space-time clusters even when the numbers of spatial locations and data streams are large. For two variants of the multivariate subset scan, we demonstrate that the scan statistic can be efficiently optimized over proximity-constrained subsets of locations and over all subsets of the monitored data streams, enabling timely detection of emerging events and accurate characterization of the affected locations and streams.