Surveillance of the covariance matrix based on the properties of the singular Wishart distribution

Authors:
Olha Bodnar;Taras Bodnar;Yarema Okhrin
Affiliations:
Department of Statistics, European University Viadrina, PO Box 1786, D-15207 Frankfurt (Oder), Germany;Department of Statistics, European University Viadrina, PO Box 1786, D-15207 Frankfurt (Oder), Germany;Department of Economics, University of Bern, CH-3012 Bern, Switzerland
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

A methodology which allows applying the standard monitoring techniques for the mean behaviour of Gaussian processes in the detection of shifts in the covariance matrix is developed. Moreover, the proposed methodology allows the use of an estimator of the covariance matrix based on a single observation. An extensive simulation study reveals the advantages of the considered approach.