Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model

DOI10.1081/SQA-200027052MaRDI QIDQ3155698zbMATH OpenOpenAlexFDO

Authors Wolfgang Schmid, Dobromir Tzotchev

Publication date 18 January 2005

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sqa-200027052

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Monitoring parameter changes for random coefficient autoregressive models
• Monitoring parameter change in time series models

Cites work

• A Multivariate Exponentially Weighted Moving Average Control Chart
• A theory of the term structure of interest rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Ewma charts for multivariate time series
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• Two singular diffusion problems

Cited in

(14)

• Robust surveillance of covariance matrices using a single observation
• Sequential monitoring of minimum variance portfolio
• Change detection in the Cox-Ingersoll-Ross model
• Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
• Optimal Surveillance Based on Exponentially Weighted Moving Averages
• Guest Editorial: Eighty Years of Control Charts
• Properties and Use of the Shewhart Method and Its Followers
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
• Accurate tests and intervals based on multivariate CUSUM statistics
• Sequential monitoring of high‐dimensional time series
• Control charts for high-dimensional time series with estimated in-control parameters
• Monitoring the mean of multivariate financial time series
• Control Charts and Multifactor Affine Term Structure Models
• Surveillance of the covariance matrix based on the properties of the singular Wishart distribution

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