SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
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Publication:4331108
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Cites work
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Cited in
(22)- Robust surveillance of covariance matrices using a single observation
- Sequential monitoring of minimum variance portfolio
- Optimal Surveillance Based on Exponentially Weighted Moving Averages
- Control charts for high-dimensional time series with estimated in-control parameters
- On control charts for monitoring the variance of a time series
- Variance charts for time series: a comparison study
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- A sequential method for the evaluation of the VaR model based on the run between exceed\-ances
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- EWMA Control Charts for Monitoring Optimal Portfolio Weights
- EWMA charts for monitoring the mean and the autocovariances of stationary processes
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- Behavior of EWMA type control charts for small smoothing parameters
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- Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
- Sequential monitoring of high‐dimensional time series
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