Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series

DOI10.1007/s10182-013-0220-2zbMath1443.62527OpenAlexW1979127271MaRDI QIDQ1621673

Wolfgang Schmid, Iryna Okhrin, Robert Garthoff

Publication date: 9 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-013-0220-2

zbMATH Keywords

multivariate CUSUM chartsstatistical process controlconditional correlation modelmultivariate EWMA charts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30)

Related Items

Control charts for multivariate spatial autoregressive models, Spatiotemporal procedures for the statistical surveillance of spatial autoregressive models with heavy tails, Control charts for the mean based on robust two-sample tests

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