NDLI: Monitoring the cross-covariances of a multivariate time series

Content Provider	Springer Nature Link
Author	Śliwa, Przemysław Schmid, Wolfgang
Copyright Year	2005
Abstract	In this paper sequential procedures are proposed for jointly monitoring all elements of the covariance matrix at lag 0 of a multivariate time series. All control charts are based on exponential smoothing. As a measure of the distance between the target values and the actual values the Mahalanobis distance is used. It is distinguished between residual control schemes and modified control schemes. Several properties of these charts are proved assuming the target process to be a stationary Gaussian process. Within an extensive Monte Carlo study all procedures are compared with each other. As a measure of the performance of a control chart the average run length is used. An empirical example about Eastern European stock markets illustrates how the autocovariance and the cross-covariance structure of financial assets can be monitored by these methods.
Starting Page	89
Ending Page	115
Page Count	27
File Format	PDF
ISSN	00261335
Journal	Metrika
Volume Number	61
Issue Number	1
e-ISSN	1435926X
Language	English
Publisher	Springer-Verlag
Publisher Date	2005-01-01
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Statistical process control Multivariate time series Simultaneous control charts Exponential smoothing Financial application Probability Theory and Stochastic Processes Statistics Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

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