Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes

DOI10.1080/03610910802691861zbMath1160.62347OpenAlexW2052473947MaRDI QIDQ3625359

Olha Bodnar

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802691861

zbMATH Keywords

statistical process controlmultivariate control charts

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)

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