Surveillance of the covariance matrix of multivariate nonlinear time series (Q5317766): Difference between revisions

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Latest revision as of 16:29, 10 June 2024

scientific article; zbMATH DE number 2206629
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English
Surveillance of the covariance matrix of multivariate nonlinear time series
scientific article; zbMATH DE number 2206629

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    Surveillance of the covariance matrix of multivariate nonlinear time series (English)
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    21 September 2005
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    statistical process control
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    multivariate GARCH models
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    change detection
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    exponential smoothing
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    financial applications
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