Monitoring means and covariances of multivariate non linear time series with heavy tails

DOI10.1080/03610926.2015.1085567zbMath1378.62128OpenAlexW2751855701MaRDI QIDQ4595829

Wolfgang Schmid, Robert Garthoff

Publication date: 6 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1085567

zbMATH Keywords

multivariate CUSUM chartsstatistical process controlmultivariate EWMA chartsconditional correlation models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Economic time series analysis (91B84) Sequential statistical analysis (62L10)

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