scientific article; zbMATH DE number 5302222

MaRDI QIDQ3512772zbMATH OpenFDO

Authors Yarema Okhrin, Wolfgang Schmid

Publication date 21 July 2008

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited in

(8)

• Robust surveillance of covariance matrices using a single observation
• Variance charts for time series: a comparison study
• Shewhart's idea of predictability and modern statistics
• On control charts for monitoring the variance of a time series
• Monitoring mean changes in persistent multivariate time series
• Control charts for measurement error models
• Minimax optimality of CUSUM for an autoregressive model
• Surveillance of the covariance matrix based on the properties of the singular Wishart distribution

Describes a project that uses

Uses Software

• FinTS

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