Monitoring mean changes in persistent multivariate time series
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Cites work
- Applied Time Series Econometrics
- CUSUM charts for monitoring the mean of a multivariate Gaussian process
- CUSUM control schemes for monitoring the covariance matrix of multivariate time series
- Detecting relevant changes in time series models
- Direct shrinkage estimation of large dimensional precision matrix
- EWMA charts for monitoring the mean and the autocovariances of stationary processes
- Ewma charts for multivariate time series
- Exploiting the errors: a simple approach for improved volatility forecasting
- Handbook of Financial Time Series
- High dimensional covariance matrix estimation using a factor model
- High-dimensional covariance matrix estimation in approximate factor models
- scientific article; zbMATH DE number 5302222 (Why is no real title available?)
- scientific article; zbMATH DE number 6108240 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Introduction to Time Series and Forecasting
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Multivariate cumulative sum control charts based on projection pursuit
- Multivariate CUSUM chart: properties and enhancements
- New characteristics for portfolio surveillance
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- On the benefits of equicorrelation for portfolio allocation
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Surveillance of the mean behavior of multivariate time series
Cited in
(9)- Monitoring the cross-covariances of a multivariate time series
- Monitoring mean and variance change-points in long-memory time series
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- The use of temporally aggregated data on detecting a mean change of a time series process
- Sequential monitoring of high‐dimensional time series
- Control charts for measurement error models
- Monitoring procedures for binary integer autoregressive models with application to telephone complaint data
- Vector moving average models: a review
- A control chart for monitoring image processes based on convolutional neural networks
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