Variance charts for time series: a comparison study

DOI10.1007/978-3-319-12355-4_6MaRDI QIDQ2787304zbMATH OpenOpenAlexFDO

Authors Taras Lazariv, Wolfgang Schmid

Publication date 25 February 2016

Published in Frontiers in Statistical Quality Control 11 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-12355-4_6

zbMATH Keywords

control chartsCUSUM chartsEWMA chartsgeneralized likelihood ratiosequential detectionShiryaev-Roberts proceduresSPRTstatistical process controltime seriesvariance charts

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

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Cites work

• scientific article; zbMATH DE number 5302222 (Why is no real title available?)
• scientific article; zbMATH DE number 1146587 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Localized realized volatility modeling
• On control charts for monitoring the variance of a time series
• On Optimum Methods in Quickest Detection Problems
• On the Stable Paretian Behavior of Stock-Market Prices
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Time series: theory and methods.

Cited in

(4)

• Surveillance of non-stationary processes
• On control charts for monitoring the variance of a time series
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Monitoring the mean and the variance of a stationary process

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