Nonparametric monitoring of financial time series by jump-preserving control charts

DOI10.1007/s00362-002-0112-0zbMath1003.62090OpenAlexW1975709799MaRDI QIDQ1849312

Ansgar Steland

Publication date: 1 December 2002

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0112-0

zbMATH Keywords

digital image processingfinancial econometricsEWMA control chartnonparametric smoothing structural changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Nonparametric inference (62G99)

Related Items (3)

On detecting jumps in time series: nonparametric setting ⋮ Testing epidemic change in nearly nonstationary process with statistics based on residuals ⋮ Random Walks with Drift – A Sequential Approach

Uses Software

• KernSmooth

Cites Work

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• Detecting Change Points by Fourier Analysis
• Edge-Preserving Smoothers for Image Processing
• Optimal Change‐point Estimation in Inverse Problems
• Jump and sharp cusp detection by wavelets
• CONTINUOUS INSPECTION SCHEMES

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