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Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
3 references·2 citing·21 second hop
Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters (2007)Cholesky Decompositions and Estimation of…A full-factor multivariate GARCH model (2003)A full-factor multivariate GA…Multivariate Statistical Process Control with Industrial Applications (2002)Multivariate Statistical Proc…Decomposition of T 2 for Multivariate Control Chart Interpretation (1995)Decomposition of T 2 for Mult…Multilevel modeling of insurance claims using copulas (2016)Multilevel modeling of insura…Modeling covariance matrices via partial autocorrelations (2009)Modeling covariance matrices …Multivariate Generalizations of Cumulative Sum Quality-Control Schemes (1988)A Multivariate Exponentially Weighted Moving Average Control Chart (1992)Multivariate Control Charts for Individual Observations (1992)A Practical Approach for Interpreting Multivariate T2 Control Chart Signals (1997)High-Dimensional Process Monitoring and Fault Isolation via Variable Selection (2009)Multivariate Statistical Process Control Using LASSO (2009)Time Series Analysis: Forecasting and Control. (1978)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlation (2002)Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence (2015)Modelling household finances: A Bayesian approach to a multivariate two-part model (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate GARCH Models: A Survey (2003)Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. (2008)On asymptotic theory for multivariate GARCH models (2009)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Pair-copula constructions of multiple dependence (2007)Dependence Modeling with Copulas (2014)Statistical monitoring of nonlinear product and process quality profiles (2007)Profile Monitoring via Nonlinear Mixed Models (2009)
this work references cited by second hop

References

  • 2002Multivariate Statistical Process Control with Industrial Applications443 cited
  • 1995Decomposition of T 2 for Multivariate Control Chart Interpretation397 cited
  • 2003A full-factor multivariate GARCH model146 cited

Cited by

  • 2009Modeling covariance matrices via partial autocorrelations71 cited
  • 2016Multilevel modeling of insurance claims using copulas55 cited

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