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Sequential monitoring of minimum variance portfolio

Golosnoy, Vasyl - In: AStA Advances in Statistical Analysis 91 (2007) 1, pp. 39-55

Persistent link: https://www.econbiz.de/10005371266

Control charts for measurement error models

Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen; … - In: AStA Advances in Statistical Analysis 107 (2022) 4, pp. 693-712

We consider a linear measurement error model (MEM) with AR(1) process in the state equation which is widely used in applied research. This MEM could be equivalently re-written as ARMA(1,1) process, where the MA(1) parameter is related to the variance of measurement errors. As the MA(1) parameter...

Persistent link: https://www.econbiz.de/10015165616

Multivariate CUSUM chart: properties and enhancements

Golosnoy, Vasyl; Ragulin, Sergiy; Schmid, Wolfgang - In: AStA Advances in Statistical Analysis 93 (2009) 3, pp. 263-279

Persistent link: https://www.econbiz.de/10005014989

Econometric analysis of high frequency data

Herwartz, Helmut - In: AStA Advances in Statistical Analysis 90 (2006) 1, pp. 89-104

Persistent link: https://www.econbiz.de/10005371269

Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data

Herwartz, Helmut - In: AStA Advances in Statistical Analysis 95 (2011) 2, pp. 147-168

Persistent link: https://www.econbiz.de/10009149512