Ewma charts for multivariate time series

DOI10.1080/07474949708836378zbMath0883.62113MaRDI QIDQ4346000

Wolfgang Schmid, H. G. Kramer

Publication date: 23 March 1998

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949708836378

zbMATH Keywords

tables; Monte Carlo study; time series; statistical process control; multivariate data; EWMA chart

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P30: Applications of statistics in engineering and industry; control charts

65C05: Monte Carlo methods

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EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes, Surveillance of the covariance matrix of multivariate nonlinear time series, CUSUM charts for monitoring the mean of a multivariate Gaussian process, EWMA charts for monitoring the mean and the autocovariances of stationary processes, The influence of parameter estimation on the ARL of Shewhart type charts for time series, Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, Control charts for multivariate spatial autoregressive models, Sequential monitoring of minimum variance portfolio, Quality surveillance with EWMA control charts based on exact control limits, Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model, Optimal Surveillance Based on Exponentially Weighted Moving Averages, Properties and Use of the Shewhart Method and Its Followers, EWMA Control Charts for Monitoring Optimal Portfolio Weights, Multivariate Quality Control Chart for Autocorrelated Processes, Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes

Cites Work

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