Robust surveillance of covariance matrices using a single observation

DOI10.1007/s13171-013-0044-xzbMath1330.62319OpenAlexW2056856327MaRDI QIDQ2257028

Olha Bodnar, Taras Bodnar, Yarema Okhrin

Publication date: 23 February 2015

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-473799

zbMATH Keywords

CUSUMskew-normal distributionsingular Wishart distributionexpected delayEWMA

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Sequential statistical analysis (62L10)

Related Items (1)

Sequential monitoring of high‐dimensional time series

Uses Software

• sn

Cites Work

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