Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes

被引：7
作者：
Bodnar, Olha [1 ]
机构：
[1] Europa Univ Viadrina Frankfurt Oder, Dept Stat, D-15207 Frankfurt, Oder, Germany
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2009年 / 38卷 / 05期
关键词：
Generalized likelihood ratio test; Multivariate control charts; Multivariate GARCH processes; Statistical process control; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; ASYMPTOTIC THEORY; HETEROSKEDASTICITY; MODEL;
D O I：
10.1080/03610910802691861
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页码：919 / 938
页数：20
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