Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model

DOI10.1081/SQA-200027052zbMath1054.62128OpenAlexW2015362325MaRDI QIDQ3155698

Wolfgang Schmid, Dobromir Tzotchev

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sqa-200027052

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Sequential statistical analysis (62L10)

Related Items (12)

Guest Editorial: Eighty Years of Control Charts ⋮ Properties and Use of the Shewhart Method and Its Followers ⋮ EWMA Control Charts for Monitoring Optimal Portfolio Weights ⋮ Change detection in the Cox-Ingersoll-Ross model ⋮ Sequential monitoring of high‐dimensional time series ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ Accurate Tests and Intervals Based on Multivariate CUSUM Statistics ⋮ Sequential monitoring of minimum variance portfolio ⋮ Surveillance of the covariance matrix based on the properties of the singular Wishart distribution ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Optimal Sequential Surveillance for Finance, Public Health, and Other Areas ⋮ Optimal Surveillance Based on Exponentially Weighted Moving Averages

Cites Work

• Unnamed Item
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• A Multivariate Exponentially Weighted Moving Average Control Chart
• Ewma charts for multivariate time series

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