Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes
نویسنده
چکیده
We derive several multivariate control charts to monitor the mean vector of multivariate GARCH processes under the presence of changes, by means of maximizing the generalized likelihood ratio. This presentation is rounded up by a comparative performance study based on extensive Monte Carlo simulations. An empirical illustration shows how the obtained results can be applied to real data. Note: The following files were submitted by the author for peer review, but cannot be converted to PDF. You must view these files (e.g. movies) online.
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ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 38 شماره
صفحات -
تاریخ انتشار 2009