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

Olha Bodnar, Taras Bodnar and Yarema Okhrin

Computational Statistics & Data Analysis, 2009, vol. 53, issue 9, 3372-3385

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.

Date: 2009
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