Monitoring correlation change in a sequence of random variables

DOI10.1016/J.JSPI.2012.06.007MaRDI QIDQ715600zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Gaussian processesthreshold functiononline detection

Mathematics Subject Classification ID

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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• Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure
• Adaptive Change Point Monitoring for High-Dimensional Data
• Modified tests for change points in variance in the possible presence of mean breaks
• A likelihood ratio approach to sequential change point detection for a general class of parameters
• Sequential monitoring of the tail behavior of dependent data
• Monitoring correlative financial data streams by local pattern similarity
• Sequential detection of parameter changes in dynamic conditional correlation models
• Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
• A nonparametric test for a constant correlation matrix
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• 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
• Anomaly detection: a functional analysis perspective
• scientific article; zbMATH DE number 1934559 (Why is no real title available?)
• 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
• BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
• Multiple break detection in the correlation structure of random variables

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