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Statistics
A Journal of Theoretical and Applied Statistics
Volume 39, 2005 - Issue 3
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Original Articles

Surveillance of the covariance matrix of multivariate nonlinear time series

Przemysław śliwa Department of Statistics, Europe University, P.O. Box 1786, 15207, Frankfurt (Oder), Germany
&
Wolfgang Schmid Department of Statistics, Europe University, P.O. Box 1786, 15207, Frankfurt (Oder), GermanyCorrespondence[email protected]
Pages 221-246 | Received 24 Aug 2004, Published online: 15 Aug 2006

Citations (12)

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Read on this site (3)

Robert Garthoff & Philipp Otto. (2022) Spatiotemporal procedures for the statistical surveillance of spatial autoregressive models with heavy tails. Communications in Statistics - Simulation and Computation 51:10, pages 5709-5737.
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Sotiris Bersimis, Aggeliki Sgora & Stelios Psarakis. (2018) The application of multivariate statistical process monitoring in non-industrial processes. Quality Technology & Quantitative Management 15:4, pages 526-549.
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Robert Garthoff & Wolfgang Schmid. (2017) Monitoring means and covariances of multivariate non linear time series with heavy tails. Communications in Statistics - Theory and Methods 46:21, pages 10394-10415.
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Articles from other publishers (9)

Konstantinos Bisiotis, Stelios Psarakis & Athanasios N. Yannacopoulos. (2021) Control charts in financial applications: An overview. Quality and Reliability Engineering International 38:3, pages 1441-1462.
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Philipp Otto. 2021. Frontiers in Statistical Quality Control 13. Frontiers in Statistical Quality Control 13 165 183 .
Robert Garthoff & Philipp Otto. (2018) Verfahren zur Überwachung räumlicher autoregressiver Prozesse mit externen RegressorenStatistical surveillance of spatial autoregressive processes with exogenous regressors. AStA Wirtschafts- und Sozialstatistisches Archiv 12:2, pages 107-133.
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Robert Garthoff & Philipp Otto. (2016) Control charts for multivariate spatial autoregressive models. AStA Advances in Statistical Analysis 101:1, pages 67-94.
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Matthias Borowski, Dennis Busse & Roland Fried. (2014) Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure. Statistics and Computing 25:5, pages 913-928.
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Robert Garthoff & Philipp Otto. 2015. Stochastic Models, Statistics and Their Applications. Stochastic Models, Statistics and Their Applications 271 281 .
Robert Garthoff. (2014) Sequentielle Überwachung von Finanzzeitreihen anhand von ResiduenkartenSequential analysis of financial time series using residual charts. AStA Wirtschafts- und Sozialstatistisches Archiv 8:3, pages 91-113.
Crossref
Robert Garthoff, Iryna Okhrin & Wolfgang Schmid. (2013) Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series. AStA Advances in Statistical Analysis 98:3, pages 225-255.
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Robert Garthoff, Vasyl Golosnoy & Wolfgang Schmid. (2014) Monitoring the mean of multivariate financial time series. Applied Stochastic Models in Business and Industry 30:3, pages 328-340.
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