Monitoring correlation change in a sequence of random variables
DOI10.1016/J.JSPI.2012.06.007zbMATH Open1251.62025OpenAlexW2165576713MaRDI QIDQ715600FDOQ715600
Authors: Dominik Wied, Pedro Galeano 
Publication date: 30 October 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/29399
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Inference from stochastic processes (62M99) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Modified tests for change points in variance in the possible presence of mean breaks
- Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure
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- Sequential monitoring of the tail behavior of dependent data
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- Monitoring correlative financial data streams by local pattern similarity
- Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
- A nonparametric test for a constant correlation matrix
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- Sequential change point detection in high dimensional time series
- Inference for post-change parameters after sequential CUSUM test under AR(1) model
- Monitoring test for stability of copula parameter in time series
- A new approach for open‐end sequential change point monitoring
- Title not available (Why is that?)
- Anomaly detection: a functional analysis perspective
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- On the application of new tests for structural changes on global minimum-variance portfolios
- A monitoring procedure for detecting structural breaks in factor copula models
- Multiple break detection in the correlation structure of random variables
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