Monitoring the cross-covariances of a multivariate time series

DOI10.1007/S001840400326zbMath1062.62151OpenAlexW1980017106MaRDI QIDQ1774624

Przemysław Śliwa, Wolfgang Schmid

Publication date: 17 May 2005

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001840400326

zbMATH Keywords

Statistical process controlExponential smoothingMultivariate time seriesEWMA recursionsFinancial applicationSimultaneous control 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) Sequential statistical analysis (62L10) General considerations in statistical decision theory (62C05)

Related Items (12)

Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series ⋮ Control charts for multivariate spatial autoregressive models ⋮ Spatiotemporal procedures for the statistical surveillance of spatial autoregressive models with heavy tails ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ Surveillance of the covariance matrix of multivariate nonlinear time series ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ EWMA Charts for Multivariate Output: Some Stochastic Ordering Results ⋮ Surveillance of the covariance matrix based on the properties of the singular Wishart distribution ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Monitoring Variability and Analyzing Multivariate Autocorrelated Processes ⋮ The quality control chart for monitoring multivariate autocorrelated processes ⋮ Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure

This page was built for publication: Monitoring the cross-covariances of a multivariate time series