Surveillance of the covariance matrix of multivariate nonlinear time series

DOI10.1080/02331880500062170zbMath1070.62074OpenAlexW1963532260MaRDI QIDQ5317766

Przemysław Śliwa, Wolfgang Schmid

Publication date: 21 September 2005

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880500062170

zbMATH Keywords

exponential smoothingchange detectionstatistical process controlfinancial applicationsmultivariate GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05)

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