SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Covariance changes detection in multivariate time series · Study

ArticleShelves

ArticleCovariance changes detection in multivariate time series

Pedro Galeano2005

Article2005

Covariance changes detection in multivariate time series

Pedro Galeano · Daniel Peña

58 citations·0/0 files stored·Journal of Statistical Planning and Inference

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Advanced Statistical Methods and Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 58 citations exist upstream.

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES 1971Inference about the Change-Point from Cumulative Sum Tests 1998Testing For and Dating Common Breaks in Multivariate Time Series 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1997Testing and Locating Variance Changepoints with Application to Stock Prices

Cited by

2016TESTING FOR CHANGES IN KENDALL’S TAU 2011A new fluctuation test for constant variances with applications to finance 2014A nonparametric test for a constant correlation matrix 2017Change Point Analysis of Correlation in Non-stationary Time Series 2020Testing and estimating change-points in the covariance matrix of a high-dimensional time series

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Change-Point Problems: Bibliography and Reviewarticle · 6 shared references 2001ON CHANGE POINT DETECTION AND ESTIMATIONarticle · 5 shared references 2009Structural Breaks in Financial Time Serieschapter · 5 shared references 2000Multiscale detection and location of multiple variance changes in the presence of long memoryarticle · 5 shared references 2005Detecting change-points in multidimensional stochastic processesarticle · 5 shared references 2002Detecting multiple breaks in financial market volatility dynamicsarticle · 4 shared references

Details

Year2005

Typearticle

Published2005-11-10

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations58

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

Identifiers

doi10.1016/j.jspi.2005.09.003

openalex_workW2167737547

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2011

A modified economic-statistical design of the T2control chart with variable sample sizes and control limits

2015Change point analysis of second order characteristics in non-stationary time series

2020Change-point methods for multivariate time-series: paired vectorial observations