Monitoring the covariance matrix with fewer observations than variables (Q1800078): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.csda.2013.02.028 / rank
 
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Latest revision as of 23:36, 16 July 2024

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Monitoring the covariance matrix with fewer observations than variables
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    Monitoring the covariance matrix with fewer observations than variables (English)
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    19 October 2018
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    covariance matrix
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    penalized likelihood function
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    average run length (ARL)
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    multistandardization
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    Cholesky decomposition
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