Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Pape, Katharina | - |
dc.contributor.author | Wied, Dominik | - |
dc.contributor.author | Galeano, Pedro | - |
dc.date.accessioned | 2015-08-04T10:43:46Z | - |
dc.date.available | 2015-08-04T10:43:46Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34183 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7814 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;29/2015 | en |
dc.subject | multivariate sequences | en |
dc.subject | variance changes | en |
dc.subject | threshold function | en |
dc.subject | online detection | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Monitoring multivariate variance changes | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
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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