Surveillance of the covariance matrix based on the properties of the singular Wishart distribution

DOI10.1016/j.csda.2009.02.020zbMath1453.62047OpenAlexW2088760192MaRDI QIDQ961796

Yarema Okhrin, Olha Bodnar, Taras Bodnar

Publication date: 1 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.02.020

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics in engineering and industry; control charts (62P30)

Related Items

An exact test for a column of the covariance matrix based on a single observation, Robust surveillance of covariance matrices using a single observation, CUSUM control charts for monitoring optimal portfolio weights, Recent advances in shrinkage-based high-dimensional inference

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Detection of chatter vibration in a drilling process using multivariate control charts
• Approximations to the expected sample size of certain sequential tests
• Singular Wishart and multivariate beta distributions
• The influence of parameter estimation on the ARL of Shewhart type charts for time series
• Monitoring the cross-covariances of a multivariate time series
• Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
• Multivariate CUSUM Quality-Control Procedures
• A New Two-Sided Cumulative Sum Quality Control Scheme
• Multivariate Generalizations of Cumulative Sum Quality-Control Schemes
• A Multivariate Exponentially Weighted Moving Average Control Chart
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• EWMA Schemes with Nonhomogeneous Transition Kernels
• Are estimated control charts in control?
• CONTINUOUS INSPECTION SCHEMES