Monitoring high-dimensional heteroscedastic processes using rank-based EWMA methods

Author:

Wang ZezhongORCID,Goedhart RobORCID,Zwetsloot Inez MariaORCID

Publisher

Elsevier BV

Subject

General Engineering,General Computer Science

Reference34 articles.

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4. Application of the generalized likelihood ratio test for detecting changes in the mean of multivariate GARCH processes;Bodnar;Communications in Statistics. Simulation and Computation,2009

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

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