Sequential monitoring of high‐dimensional time series

DOI10.1111/sjos.12607OpenAlexW4291327395MaRDI QIDQ6073436

Rostyslav Bodnar, Taras Bodnar, Wolfgang Schmid

Publication date: 11 October 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12607

zbMATH Keywords

high-dimensional time seriesvector autoregressive processsequential surveillanceMEWMA control chartmaximum expected delay

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Control charts for high-dimensional time series with estimated in-control parameters

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Direct shrinkage estimation of large dimensional precision matrix
• Factor modeling for high-dimensional time series: inference for the number of factors
• Oracle inequalities for high dimensional vector autoregressions
• Piecewise quantile autoregressive modeling for nonstationary time series
• CUSUM charts for monitoring the mean of a multivariate Gaussian process
• Exact and asymptotic tests on a factor model in low and large dimensions with applications
• Detection of chatter vibration in a drilling process using multivariate control charts
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
• On the run length of a Shewhart chart for correlated data
• Likelihood ratio tests for many groups in high dimensions
• Robust surveillance of covariance matrices using a single observation
• On the Marčenko-Pastur law for linear time series
• Inference on higher-order spatial autoregressive models with increasingly many parameters
• A two-sample test for high-dimensional data with applications to gene-set testing
• Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
• Multivariate control charts based on a projection approach
• Functional Generalized Autoregressive Conditional Heteroskedasticity
• Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
• Surveillance of the mean behavior of multivariate time series
• SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
• Multivariate Generalizations of Cumulative Sum Quality-Control Schemes
• A Multivariate Exponentially Weighted Moving Average Control Chart
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Ewma charts for multivariate time series
• Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
• Multivariate outbreak detection
• The computation of average run length and average time to signal: an overview

This page was built for publication: Sequential monitoring of high‐dimensional time series