Authors: | Pape, Katharina Wied, Dominik Galeano, Pedro |
Title: | Monitoring multivariate variance changes |
Language (ISO): | en |
Abstract: | We propose a model-independent multivariate sequential procedure to monitor changes in the vector of componentwise unconditional variances in a sequence of p-variate random vectors. The asymptotic behavior of the detector is derived and consistency of the procedure stated. A detailed simulation study illustrates the performance of the procedure confronted with different types of data generating processes. We conclude with an application to the log returns of a group of DAX listed assets. |
Subject Headings: | multivariate sequences variance changes threshold function online detection |
URI: | http://hdl.handle.net/2003/34183 http://dx.doi.org/10.17877/DE290R-7814 |
Issue Date: | 2015 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2915_SFB823_Pape_Wied_Galeano_II.pdf | DNB | 497.2 kB | Adobe PDF | View/Open |
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