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Surveillance of the covariance matrix based on the properties of the singular Wishart distribution

A methodology which allows applying the standard monitoring techniques for the mean behaviour of Gaussian processes in the detection of shifts in the covariance matrix is developed. Moreover, the proposed methodology allows the use of an estimator of the covariance matrix based on a single observation. An extensive simulation study reveals the advantages of the considered approach.
Year of publication:
2009
Authors: Bodnar, Olha ; Bodnar, Taras ; Okhrin, Yarema
Published in:
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 53.2009, 9, p. 3372-3385
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005005962
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