A new multivariate EWMA scheme for monitoring covariance matrices
Xiaobei Shen, Fugee Tsung and Changliang Zou
| Year of publication: |
2014
|
|---|---|
| Authors: | Shen, Xiaobei ; Tsung, Fugee ; Zou, Changliang |
| Published in: |
International journal of production research. - London : Taylor & Francis, ISSN 0020-7543, ZDB-ID 160477-6. - Vol. 52.2014, 10 (15.5.), p. 2834-2850
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| Subject: | change in covariance matrix | exponentially weighted moving average | sparsity | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Lineare Algebra | Linear algebra | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010353340