Surveillance of the covariance matrix of multivariate nonlinear time series

DOI10.1080/02331880500062170zbMath1070.62074MaRDI QIDQ5317766

Przemysław Śliwa, Wolfgang Schmid

Publication date: 21 September 2005

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880500062170

zbMATH Keywords

exponential smoothing; change detection; statistical process control; financial applications; multivariate GARCH models

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

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

65C05: Monte Carlo methods

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