Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
From MaRDI portal
Publication:961796
DOI10.1016/j.csda.2009.02.020zbMath1453.62047OpenAlexW2088760192MaRDI QIDQ961796
Yarema Okhrin, Olha Bodnar, Taras Bodnar
Publication date: 1 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2009.02.020
Computational methods for problems pertaining to statistics (62-08) Applications of statistics in engineering and industry; control charts (62P30)
Related Items
An exact test for a column of the covariance matrix based on a single observation, Robust surveillance of covariance matrices using a single observation, CUSUM control charts for monitoring optimal portfolio weights, Recent advances in shrinkage-based high-dimensional inference
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
- Detection of chatter vibration in a drilling process using multivariate control charts
- Approximations to the expected sample size of certain sequential tests
- Singular Wishart and multivariate beta distributions
- The influence of parameter estimation on the ARL of Shewhart type charts for time series
- Monitoring the cross-covariances of a multivariate time series
- Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
- Multivariate CUSUM Quality-Control Procedures
- A New Two-Sided Cumulative Sum Quality Control Scheme
- 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 Schemes with Nonhomogeneous Transition Kernels
- Are estimated control charts in control?
- CONTINUOUS INSPECTION SCHEMES