SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES

DOI10.1081/SQA-100107647zbMath0987.62053MaRDI QIDQ4331108

Wolfgang Schmid, S. Schipper

Publication date: 30 June 2002

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

zbMATH Keywords

time seriescontrol chartsstatistical process controlvariance changesGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

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