Surveillance of the covariance matrix of multivariate nonlinear time series (Q5317766)
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scientific article; zbMATH DE number 2206629
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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