Monitoring multivariate nonlinear time series:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt (Oder)
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VII, 101 S. graph. Darst. |
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
LIST OF SYMBOLS VII
1 INTRODUCTION 1
2 MULTIVARIATE LINEAR AND NONLINEAR TIME SERIES 7
2.1 MULTIVARIATE LINEAR PROCESSES 7
2.2 CONVENTIONAL MULTIVARIATE NONLINEAR PROCESSES 8
2.3 NONLINEAR COMBINATIONS OF UNIVARIATE GARCH MODELS 9
2.4 ESTIMATION OF MULTIVARIATE NONLINEAR TIME SERIES 11
3 STATISTICAL PROCESS CONTROL 13
3.1 THE PURPOSE OF STATISTICAL PROCESS CONTROL 13
3.2 THE OUT-OF-CONTROL BEHAVIOR 14
3.3 CHARACTERISTIC QUANTITIES FOR THE SURVEILLANCE OF MEANS AND
(CO)VARIANCES 16
3.3.1 CHARACTERISTICS BASED ON CURRENT OBSERVATIONS 16
3.3.2 CHARACTERISTICS BASED ON THE CONDITIONAL COVARIANCE MATRIX ... 18
3.3.3 CHARACTERISTICS BASED ON RESIDUALS 18
3.4 CHARACTERISTIC QUANTITIES FOR THE SURVEILLANCE OF MEANS AND
VARIANCES . . 19
3.4.1 CHARACTERISTICS BASED ON CURRENT OBSERVATIONS AND RESIDUALS . . 20
3.4.2 CHARACTERISTICS BASED ON CONDITIONAL VARIANCES 22
3.5 CONVENTIONAL MULTIVARIATE CONTROL CHARTS 22
3.5.1 THE X 2 CHART OF HOTELLING 23
3.5.2 MULTIVARIATE EWMA CHARTS OF LOWRY AND WOODALL 23
3.5.3 THE MCUSUM SCHEMES OF PIGNATIELLO AND RUNGER 24
3.6 MODIFICATIONS OF MULTIVARIATE CONTROL SCHEMES 25
3.6.1 MODIFIED MULTIVARIATE EWMA CHARTS 25
3.6.2 MODIFIED MAHALANOBIS EWMA CONTROL CHARTS 27
3.6.3 THE MODIFIED MCUSUM1 CONTROL SCHEME 27
HTTP://D-NB.INFO/1041271433
IMAGE 2
CONTENTS
3.6.4 THE MODIFIED MCUSUM2 CONTROL SCHEME 28
3.6.5 MODIFIED VECTOR-VALUED CUSUM CHARTS 28
4 COMPARATIVE STUDY AND EMPIRICAL ILLUSTRATION 31
4.1 SIMULATION STUDY ON THE SURVEILLANCE OF THE MEAN VECTOR . 31
4.1.1 DESIGN OF THE MONTE CARLO STUDY 31
4.1.2 DETECTION OF CHANGES IN THE MEAN VECTOR 33
4.2 EMPIRICAL STUDY ON THE SURVEILLANCE OF THE MEAN VECTOR 36
4.2.1 DATA AND ESTIMATION RESULTS 36
4.2.2 MONITORING THE MEAN VECTOR OF THE FOREX SERIES 39
4.2.3 INTERPRETATION OF SIGNALS 40
4.3 COMPARATIVE STUDY ON THE SURVEILLANCE OF THE MEAN VECTOR AND THE
COVARIANCE MATRIX 45
4.3.1 DESIGN OF THE SIMULATION STUDY 45
4.3.2 DETECTION OF CHANGES IN THE MEAN VECTOR AND THE COVARIANCE MATRIX
47
4.4 COMPARATIVE STUDY ON THE SURVEILLANCE OF MEANS AND VARIANCES 55
4.4.1 CONFIGURATION OF THE MONTE CARLO STUDY 55
4.4.2 DETECTION OF CHANGES IN MEANS AND VARIANCES 56
4.5 EMPIRICAL ILLUSTRATION OF THE SURVEILLANCE OF MEANS AND VARIANCES
.... 61
4.5.1 DESCRIPTION OF THE DATA AND ESTIMATION RESULTS 61
4.5.2 CONFIGURATION OF THE SIMULATION STUDY 62
4.5.3 DETECTION OF CHANGES IN THE MEAN VECTOR AND THE COVARIANCE MATRIX
63
5 SUMMARY 73
6 APPENDIX 77
6.1 PROOFS 77
6.1.1 PROOF OF PROPOSITION 1 77
6.1.2 PROOF OF PROPOSITION 2 78
6.1.3 PROOF OF PROPOSITION 3 78
6.1.4 PROOF OF PROPOSITION 4 79
6.1.5 PROOF OF PROPOSITION 5 80
6.1.6 PROOF OF PROPOSITION 6 80
6.2 FIGURES OF FOREIGN EXCHANGE MARKET RATES 81
6.3 FIGURES OF PRICE INDICES 88
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| indexdate | 2024-07-10T00:36:29Z |
| institution | BVB |
| language | English |
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| physical | VII, 101 S. graph. Darst. |
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| spelling | Garthoff, Robert Verfasser aut Monitoring multivariate nonlinear time series von Robert Garthoff Frankfurt (Oder) 2013 VII, 101 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Franfurt (Oder), Univ., Diss., 2013 Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 s Multivariate Analyse (DE-588)4040708-1 s b DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025948569&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Garthoff, Robert Monitoring multivariate nonlinear time series Multivariate Analyse (DE-588)4040708-1 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd |
| subject_GND | (DE-588)4040708-1 (DE-588)4276267-4 (DE-588)4113937-9 |
| title | Monitoring multivariate nonlinear time series |
| title_auth | Monitoring multivariate nonlinear time series |
| title_exact_search | Monitoring multivariate nonlinear time series |
| title_full | Monitoring multivariate nonlinear time series von Robert Garthoff |
| title_fullStr | Monitoring multivariate nonlinear time series von Robert Garthoff |
| title_full_unstemmed | Monitoring multivariate nonlinear time series von Robert Garthoff |
| title_short | Monitoring multivariate nonlinear time series |
| title_sort | monitoring multivariate nonlinear time series |
| topic | Multivariate Analyse (DE-588)4040708-1 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd |
| topic_facet | Multivariate Analyse Nichtlineare Zeitreihenanalyse Hochschulschrift |
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