Monitoring the covariance matrix with fewer observations than variables (Q1800078)
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scientific article; zbMATH DE number 6958945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monitoring the covariance matrix with fewer observations than variables |
scientific article; zbMATH DE number 6958945 |
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Monitoring the covariance matrix with fewer observations than variables (English)
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19 October 2018
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covariance matrix
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penalized likelihood function
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average run length (ARL)
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multistandardization
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Cholesky decomposition
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