SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES

DOI10.1081/SQA-100107647zbMath0987.62053MaRDI QIDQ4331108

Wolfgang Schmid, S. Schipper

Publication date: 30 June 2002

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

time seriescontrol chartsstatistical process controlvariance changesGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Related Items (16)

Properties and Use of the Shewhart Method and Its Followers ⋮ EWMA Control Charts for Monitoring Optimal Portfolio Weights ⋮ EWMA charts for monitoring the mean and the autocovariances of stationary processes ⋮ Surveillance of the covariance matrix of multivariate nonlinear time series ⋮ Behavior of EWMA type control charts for small smoothing parameters ⋮ On control charts for monitoring the variance of a time series ⋮ Sequential monitoring of high‐dimensional time series ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems ⋮ Surveillance of the mean behavior of multivariate time series ⋮ Sequential monitoring of minimum variance portfolio ⋮ Surveillance of the covariance matrix based on the properties of the singular Wishart distribution ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Variance Charts for Time Series: A Comparison Study ⋮ EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes ⋮ Optimal Surveillance Based on Exponentially Weighted Moving Averages

Cites Work

• Sequential analysis. Tests and confidence intervals
• ARCH modeling in finance. A review of the theory and empirical evidence
• Time series: theory and methods.
• Some properties of the EWMA control chart in the presence of autocorrelation
• Generalized autoregressive conditional heteroscedasticity
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Performance of CUSUM Control Schemes for Serially Correlated Observations
• Testing and Locating Variance Changepoints with Application to Stock Prices
• CONTINUOUS INSPECTION SCHEMES

This page was built for publication: SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES