Multivariate data sources with components of different information value seem to appear frequently in practice. Models in which the components change their homogeneity at different times are of significant importance. The fact whether any changes are influential for the whole process is determined not only by the moments of the change, but also depends on which coordinates. This is particularly important in issues such as reliability analysis of complex systems and the location of an intruder in surveillance systems. In this paper we developed a mathematical model for such sources of signals with discrete time having the Markov property given the times of change. The research also comprises a multivariate detection of the transition probabilities changes at certain sensitivity level in the multidimensional process. Additionally, the observation of the random vector is depicted. Each chosen coordinate forms the Markov process with different transition probabilities before and after some unknown moment. The aim of statisticians is to estimate the moments based on the observation of the process. The Bayesian approach is used with the risk function depending on measure of chance of a false alarm and some cost of overestimation. The moment of the system's disorder is determined by the detection of transition probabilities changes at some coordinates. The overall modeling of the critical coordinates is based on the simple game.