create a website

Sequential monitoring of high‐dimensional time series. (2023). Schmid, Wolfgang ; Bodnar, Taras.
In: Scandinavian Journal of Statistics.
RePEc:bla:scjsta:v:50:y:2023:i:3:p:962-992.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 56

References cited by this document

Cocites: 41

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Alwan, L. C., & Roberts, H. V. (1988). Time‐series modeling for statistical process control. Journal of Business & Economic Statistics, 6(1), 87–95.
    Paper not yet in RePEc: Add citation now
  2. Anderson, M. J., & Thompson, A. A. (2004). Multivariate control charts for ecological and environmental monitoring. Ecological Applications, 14(6), 1921–1935.
    Paper not yet in RePEc: Add citation now
  3. Andersson, E., Bock, D., & Frisén, M. (2004). Detection of turning points in business cycles. Journal of Business Cycle Measurement and Analysis, 1, 93–108.

  4. Aue, A., Cheung, R. C., Lee, T. C., & Zhong, M. (2017). Piecewise quantile autoregressive modeling for nonstationary time series. Bernoulli, 23(1), 1–22.
    Paper not yet in RePEc: Add citation now
  5. Aue, A., Horváth, L., & Pellatt, D. (2017). Functional generalized autoregressive conditional heteroskedasticity. Journal of Time Series Analysis, 38(1), 3–21.

  6. Bai, Z., & Saranadasa, H. (1996). Effect of high dimension: By an example of a two sample problem. Statistica Sinica, 6, 311–329.
    Paper not yet in RePEc: Add citation now
  7. Barone, S., & Chakhunashvili, A. (2022). Pandemetrics: Systematically assessing, monitoring, and controlling the evolution of a pandemic. Quality & Quantity, 1–23.
    Paper not yet in RePEc: Add citation now
  8. Bersimis, S., Sgora, A., & Psarakis, S. (2018). The application of multivariate statistical process monitoring in non‐industrial processes. Quality Technology & Quantitative Management, 15(4), 526–549.
    Paper not yet in RePEc: Add citation now
  9. Bodnar, O. (2009). Sequential surveillance of the tangency portfolio weights. International Journal of Theoretical and Applied Finance, 12(6), 797–810.

  10. Bodnar, O., & Schmid, W. (2005). Multivariate control charts based on a projection approach. Allgemeines Statistisches Archiv, 89(1), 75–93.
    Paper not yet in RePEc: Add citation now
  11. Bodnar, O., & Schmid, W. (2007). Surveillance of the mean behavior of multivariate time series. Statistica Neerlandica, 61(4), 383–406.

  12. Bodnar, O., & Schmid, W. (2011). Cusum charts for monitoring the mean of a multivariate gaussian process. Journal of Statistical Planning and Inference, 141(6), 2055–2070.
    Paper not yet in RePEc: Add citation now
  13. Bodnar, O., Bodnar, T., & Okhrin, Y. (2014). Robust surveillance of covariance matrices using a single observation. Sankhya A, 76(2), 219–256.
    Paper not yet in RePEc: Add citation now
  14. Bodnar, T., & Reiß, M. (2016). Exact and asymptotic tests on a factor model in low and large dimensions with applications. Journal of Multivariate Analysis, 150, 125–151.

  15. Bodnar, T., Gupta, A. K., & Parolya, N. (2016). Direct shrinkage estimation of large dimensional precision matrix. Journal of Multivariate Analysis, 146, 223–236.

  16. Chen, S. X., & Qin, Y.‐L. (2010). A two‐sample test for high‐dimensional data with applications to gene‐set testing. The Annals of Statistics, 38(2), 808–835.
    Paper not yet in RePEc: Add citation now
  17. Chen, S., & Nembhard, H. B. (2011). A high‐dimensional control chart for profile monitoring. Quality and Reliability Engineering International, 27(4), 451–464.
    Paper not yet in RePEc: Add citation now
  18. Chudik, A., & Pesaran, M. H. (2013). Econometric analysis of high dimensional vars featuring a dominant unit. Econometric Reviews, 32(5‐6), 592–649.

  19. Crosier, R. (1988). Multivariate generalizations of cumulative sum quality‐control schemes. Technometrics, 30, 291–303.
    Paper not yet in RePEc: Add citation now
  20. Dette, H., & Dörnemann, N. (2020). Likelihood ratio tests for many groups in high dimensions. Journal of Multivariate Analysis, 178, 104605.

  21. Dias, G. F., & Kapetanios, G. (2018). Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202(1), 75–91.

  22. Frisén, M. (1992). Evaluations of methods for statistical surveillance. Statistics in Medicine, 11, 1489–1502.
    Paper not yet in RePEc: Add citation now
  23. Golosnoy, V., & Schmid, W. (2007). Ewma control charts for monitoring optimal portfolio weights. Sequential Analysis, 26(2), 195–224.
    Paper not yet in RePEc: Add citation now
  24. Golosnoy, W., Okhrin, I., Ragulin, S., & Schmid, W. (2011). On the application of SPC in finance. Frontiers in Statistical Quality Control, 9, 119–132.
    Paper not yet in RePEc: Add citation now
  25. Gupta, A., & Robinson, P. M. (2015). Inference on higher‐order spatial autoregressive models with increasingly many parameters. Journal of Econometrics, 186(1), 19–31.

  26. Gupta, A., & Robinson, P. M. (2018). Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension. Journal of Econometrics, 202(1), 92–107.

  27. Hall, E. C., Raskutti, G., & Willett, R. (2016). Inferring high‐dimensional Poisson autoregressive models. Proceedings of the Statistical Signal Processing Workshop (SSP) (pp. 1–5). IEEE.
    Paper not yet in RePEc: Add citation now
  28. Han, F., & Liu, H. (2013). Transition matrix estimation in high dimensional time series. Proceedings of the International Conference on Machine Learning (pp. 172–180).
    Paper not yet in RePEc: Add citation now
  29. Han, F., Lu, H., & Liu, H. (2015). A direct estimation of high dimensional stationary vector autoregressions. Journal of Machine Learning Research, 16, 3115–3150.
    Paper not yet in RePEc: Add citation now
  30. Hotelling, H. (1947). Multivariate quality control – illustrated by the air testing of sample bombsights. In C. Eisenhart, M. W. Hastay, & W. Wallis (Eds.), Techniques of statistical analysis (pp. 111–184). McGraw Hill.
    Paper not yet in RePEc: Add citation now
  31. Kock, A. B., & Callot, L. (2015). Oracle inequalities for high dimensional vector autoregressions. Journal of Econometrics, 186(2), 325–344.

  32. Kramer, H. G., & Schmid, L. (1997). Ewma charts for multivariate time series. Sequential Analysis, 16(2), 131–154.
    Paper not yet in RePEc: Add citation now
  33. Lam, C., & Yao, Q. (2012). Factor modeling for high‐dimensional time series: Inference for the number of factors. The Annals of Statistics, 40(2), 694–726.

  34. Lawson, A., & Kleinman, K. (2005). Spatial & syndromic surveillance. Wiley.
    Paper not yet in RePEc: Add citation now
  35. Li, Y., Liu, Y., Zou, C., & Jiang, W. (2014). A self‐starting control chart for high‐dimensional short‐run processes. International Journal of Production Research, 52(2), 445–461.
    Paper not yet in RePEc: Add citation now
  36. Li, Z., Zou, C., Gong, Z., & Wang, Z. (2014). The computation of average run length and average time to signal: An overview. Journal of Statistical Computation and Simulation, 84(8), 1779–1802.
    Paper not yet in RePEc: Add citation now
  37. Liu, H., Aue, A., & Paul, D. (2015). On the marčenko–pastur law for linear time series. The Annals of Statistics, 43(2), 675–712.
    Paper not yet in RePEc: Add citation now
  38. Lowry, C., Woodall, W., Champ, C., & Rigdon, S. (1992). A multivariate exponentially weighted moving average control chart. Technometrics, 34, 46–53.
    Paper not yet in RePEc: Add citation now
  39. Mathai, A. M., & Provost, S. B. (1992). Quadratic forms in random variables: Theory and applications. Dekker.
    Paper not yet in RePEc: Add citation now
  40. Messaoud, A., Weihs, C., & Hering, F. (2008). Detection of chatter vibration in a drilling process using multivariate control charts. Computational Statistics & Data Analysis, 52, 3208–3219.

  41. Meyer, S., Held, L., & Höhle, M. (2017). Spatio‐temporal analysis of epidemic phenomena using the r package surveillance. Journal of Statistical Software, 77(11), 1–55.

  42. Montgomery, D. C. (2020). Introduction to statistical quality control. John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
  43. Ngai, H., & Zhang, J. (2001). Multivariate cumulative sum control charts based on projection pursuit. Statistica Sinica, 11, 747–766.
    Paper not yet in RePEc: Add citation now
  44. Pignatiello, J., & Runger, G. (1990). Comparisons of multivariate CUSUM charts. Journal of Quality Technology, 22, 173–186.
    Paper not yet in RePEc: Add citation now
  45. Reinsel, G. (1993). Multivariate time series analysis. John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
  46. Schiöler, L., & Frisén, M. (2012). Multivariate outbreak detection. Journal of Applied Statistics, 39(2), 223–242.

  47. Schipper, S., & Schmid, W. (2001). Sequential methods for detecting changes in the variance of economic time series. Sequential Analysis, 20, 235–262.
    Paper not yet in RePEc: Add citation now
  48. Schmid, W. (1995). On the run length of a Shewhart chart for correlated data. Statistical Papers, 36(1), 111–130.
    Paper not yet in RePEc: Add citation now
  49. Schmid, W., & Tzotchev, D. (2004). Statistical surveillance of the parameters of a one‐factor Cox‐Ingersoll‐Ross model. Sequential Analysis, 23, 379–412.
    Paper not yet in RePEc: Add citation now
  50. Shmueli, G., & Burkom, H. (2010). Statistical challenges facing early outbreak detection in biosurveillance. Technometrics, 52(1), 39–51.
    Paper not yet in RePEc: Add citation now
  51. Sonesson, C., & Bock, D. (2003). A review and discussion of prospective statistical surveillance in public health. Journal of the Royal Statistical Society A, 166, 5–21.

  52. Theodossiou, P. T. (1993). Predicting shifts in the mean of a multivariate time series process: An application in predicting business failures. Journal of the American Statistical Association, 88(422), 441–449.
    Paper not yet in RePEc: Add citation now
  53. Wang, K., & Jiang, W. (2009). High‐dimensional process monitoring and fault isolation via variable selection. Journal of Quality Technology, 41(3), 247.
    Paper not yet in RePEc: Add citation now
  54. Wang, L., Aue, A., & Paul, D. (2017a). Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions. Bernoulli, 23(4A), 2181–2209.
    Paper not yet in RePEc: Add citation now
  55. Wang, Z., Li, Y., & Zhou, X. (2017b). A statistical control chart for monitoring high‐dimensional Poisson data streams. Quality and Reliability Engineering International, 33(2), 307–321.
    Paper not yet in RePEc: Add citation now
  56. Ye, N., & Chen, Q. (2001). An anomaly detection technique based on a chi‐square statistic for detecting intrusions into information systems. Quality and Reliability Engineering International, 17(2), 105–112.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Functional Location-Scale Models with Robust Observation-Driven Dynamics. (2025). Lucas, Andrae ; Lin, Yicong.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20250027.

    Full description at Econpapers || Download paper

  2. An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin.
    In: Risks.
    RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573.

    Full description at Econpapers || Download paper

  3. Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

    Full description at Econpapers || Download paper

  4. Intraday Functional PCA Forecasting of Cryptocurrency Returns. (2025). Zhong, Cheng ; Jasiak, Joann.
    In: Papers.
    RePEc:arx:papers:2505.20508.

    Full description at Econpapers || Download paper

  5. Analysis of Distributional Dynamics for Repeated Cross-Sectional and Intra-Period Observations. (2025). Park, Joon Y ; Hu, BO ; Qian, Junhui.
    In: Papers.
    RePEc:arx:papers:2505.15763.

    Full description at Econpapers || Download paper

  6. Supervised dimension reduction for functional time series. (2024). Liang, Shanshan ; Jia, Shanming ; Wen, Zengyao ; Wang, Guochang.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-023-01505-1.

    Full description at Econpapers || Download paper

  7. Projection-based white noise and goodness-of-fit tests for functional time series. (2024). Rice, Gregory ; Kokoszka, Piotr ; Kim, Mihyun.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:27:y:2024:i:3:d:10.1007_s11203-024-09315-4.

    Full description at Econpapers || Download paper

  8. Spatial correlation in weather forecast accuracy: a functional time series approach. (2023). Jang, Phillip A ; Matteson, David S.
    In: Computational Statistics.
    RePEc:spr:compst:v:38:y:2023:i:3:d:10.1007_s00180-023-01338-4.

    Full description at Econpapers || Download paper

  9. Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

    Full description at Econpapers || Download paper

  10. On the growth rate of superadditive processes and the stability of functional GARCH models. (2023). Kandji, Baye Matar.
    In: Working Papers.
    RePEc:crs:wpaper:2023-07.

    Full description at Econpapers || Download paper

  11. Sequential monitoring of high‐dimensional time series. (2023). Schmid, Wolfgang ; Bodnar, Taras.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:50:y:2023:i:3:p:962-992.

    Full description at Econpapers || Download paper

  12. Factor models for high‐dimensional functional time series I: Representation results. (2023). Hallin, Marc ; Tavakoli, Shahin ; Nisol, Gilles.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:44:y:2023:i:5-6:p:578-600.

    Full description at Econpapers || Download paper

  13. On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B.
    In: Papers.
    RePEc:arx:papers:2310.04853.

    Full description at Econpapers || Download paper

  14. Change point analysis of covariance functions: A weighted cumulative sum approach. (2022). Horvath, Lajos ; Zhao, Yuqian ; Rice, Gregory.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x2100155x.

    Full description at Econpapers || Download paper

  15. Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach. (2021). Ismail, Mohd Tahir ; Remal, Shaher Al-Gounmeein ; Tahir, Ismail Mohd.
    In: Statistics in Transition New Series.
    RePEc:vrs:stintr:v:22:y:2021:i:1:p:29-54:n:9.

    Full description at Econpapers || Download paper

  16. Testing serial independence with functional data. (2021). Hlavka, Zdenk ; Meintanis, Simos G ; Hukova, Marie.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:30:y:2021:i:3:d:10.1007_s11749-020-00732-0.

    Full description at Econpapers || Download paper

  17. Forecasting Australian subnational age-specific mortality rates. (2021). Shang, Han Lin ; Yang, Yang.
    In: Journal of Population Research.
    RePEc:spr:joprea:v:38:y:2021:i:1:d:10.1007_s12546-020-09250-0.

    Full description at Econpapers || Download paper

  18. Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: MPRA Paper.
    RePEc:pra:mprapa:109231.

    Full description at Econpapers || Download paper

  19. Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach. (2021). Ismail, Mohd Tahir ; Algounmeein, Remal Shaher.
    In: Statistics in Transition New Series.
    RePEc:exl:29stat:v:22:y:2021:i:1:p:29-54.

    Full description at Econpapers || Download paper

  20. Wavelet estimation of the dimensionality of curve time series. (2020). Fonseca, Rodney V ; Pinheiro, Aluisio.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:72:y:2020:i:5:d:10.1007_s10463-019-00724-4.

    Full description at Econpapers || Download paper

  21. Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

    Full description at Econpapers || Download paper

  22. A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

    Full description at Econpapers || Download paper

  23. A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Characiejus, Vaidotas ; Rice, Gregory.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:13:y:2020:i:c:p:175-196.

    Full description at Econpapers || Download paper

  24. Tests for conditional heteroscedasticity of functional data. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:41:y:2020:i:6:p:733-758.

    Full description at Econpapers || Download paper

  25. Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models. (2019). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: MPRA Paper.
    RePEc:pra:mprapa:93048.

    Full description at Econpapers || Download paper

  26. High-dimensional functional time series forecasting: An application to age-specific mortality rates. (2019). Shang, Han Lin ; Gao, Yuan ; Yang, Yanrong.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:170:y:2019:i:c:p:232-243.

    Full description at Econpapers || Download paper

  27. Functional GARCH models: The quasi-likelihood approach and its applications. (2019). Zakoian, Jean-Michel ; Francq, Christian ; Hormann, Siegfried ; Cerovecki, Clement.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:353-375.

    Full description at Econpapers || Download paper

  28. A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:38:y:2017:i:4:p:591-609.

    Full description at Econpapers || Download paper

  29. Determinants of Consumer Sentiment over Business Cycles: Evidence from the U.S. Surveys of Consumers. (2016). Zhao, Yongchen ; Lahiri, Kajal.
    In: Working Papers.
    RePEc:tow:wpaper:2016-14.

    Full description at Econpapers || Download paper

  30. Surveillance of the covariance matrix based on the properties of the singular Wishart distribution. (2009). Okhrin, Yarema ; Bodnar, Taras.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:9:p:3372-3385.

    Full description at Econpapers || Download paper

  31. Hotelling´s T2 Method in Multivariate On-line Surveillance. On the Delay of an Alarm. (2008). Andersson, Eva.
    In: Research Reports.
    RePEc:hhs:gunsru:2008_003.

    Full description at Econpapers || Download paper

  32. Explorative analysis of spatial aspects on the Swedish influenza data. (2007). Pettersson, Kjell ; Bock, Davi D.
    In: Research Reports.
    RePEc:hhs:gunsru:2007_010.

    Full description at Econpapers || Download paper

  33. Evaluations of likelihood based surveillance of volatility. (2007). Bock, Davi D.
    In: Research Reports.
    RePEc:hhs:gunsru:2007_009.

    Full description at Econpapers || Download paper

  34. Statistical Surveillance of Epidemics: Peak Detection of Influenza in Sweden. (2007). Frisén, Marianne ; Frisen, Marianne ; Andersson, Eva ; Bock, Davi D.
    In: Research Reports.
    RePEc:hhs:gunsru:2007_006.

    Full description at Econpapers || Download paper

  35. Effect of dependency in systems for multivariate surveillance. (2007). Andersson, Eva.
    In: Research Reports.
    RePEc:hhs:gunsru:2007_001.

    Full description at Econpapers || Download paper

  36. Une lecture probabiliste du cycle d’affaires américain. (2006). Bellone, Benoit.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2006_num_172_1_7480.

    Full description at Econpapers || Download paper

  37. Classical Estimation of Multivariate Markov-Switching Models using MSVARlib. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0508017.

    Full description at Econpapers || Download paper

  38. Une lecture probabiliste du cycle d’affaires américain. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407002.

    Full description at Econpapers || Download paper

  39. Detecting Turning Points with Many Predictors through Hidden Markov Models. (2004). Bellone, Benoit ; Saint-Martin, David.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407001.

    Full description at Econpapers || Download paper

  40. MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models. (2004). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0406004.

    Full description at Econpapers || Download paper

  41. Nonparametric Regression and the Detection of Turning Points in the Ifo Business Climate. (2004). Abberger, Klaus.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1283.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 01:25:34 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.