CUSUM control schemes for monitoring the covariance matrix of multivariate time series

DOI10.1080/02331888.2016.1268616zbMath1447.62132OpenAlexW2561829440MaRDI QIDQ4600777

Olha Bodnar, Wolfgang Schmid

Publication date: 12 January 2018

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1268616

zbMATH Keywords

multivariate time seriescontrol chartsstatistical process controlfinancial applicationmodified cumulative sum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Applications of statistics in engineering and industry; control charts (62P30) Analysis of variance and covariance (ANOVA) (62J10)

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