Financial surveillance - download pdf or read online
By Marianne Frisen
This can be the 1st book-length therapy of statistical surveillance equipment utilized in monetary research. It includes conscientiously chosen chapters written via experts from either fields and moves a stability among the monetary and statistical worlds, bettering destiny collaborations among the 2 parts, and allowing extra winning prediction of monetary industry developments. The publication discusses, intimately, schemes for various keep watch over charts and various linear and nonlinear time sequence versions and applies easy methods to genuine info from world wide markets, in addition to together with simulation experiences.
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Additional info for Financial surveillance
A multivariate exponentially weighted moving average control chart. Technometrics, 34, 46–53. Lucas, J. M. and Saccucci, M. S. (1990). Exponentially weighted moving average control schemes: Properties and enhancements. Technometrics, 32, 1–12. , Bottle, A. and Aylin, P. (2004). Statistical issues in the prospective monitoring of health outcomes across multiple units. Journal of the Royal Statistical Society A, 167, 541–559. Page, E. S. (1954). Continuous inspection schemes. Biometrika, 41, 100–114.
Q , σ ). g. Brockwell and Davis (1991). The process Xt is a ﬁltered version of the εt process. Sometimes the properties of an ARMA process are better visualized by means of spectral methods. The spectrum is deﬁned as the Fourier transform 38 STATISTICAL MODELS IN FINANCE of the autocovariance function, f (λ) = 1 2π ∞ e−ikλ γ (k). k=−∞ The spectral density function f (λ) is an excellent tool for describing the cyclical properties of Xt . A peak in f (λ) at λ0 indicates a cycle of length 2π/λ0 .
Journal of the Royal Statistical Society A, 167, 541–559. Page, E. S. (1954). Continuous inspection schemes. Biometrika, 41, 100–114. Pettersson, M. (1998). Monitoring a freshwater ﬁsh population: Statistical surveillance of biodiversity. Environmetrics, 9, 139–150. , Bergman, E. and Kieler, H. (2004). Surveillance in longitudinal models. Detection of intrauterine growth retardation. Biometrics, 60, 1025–1033. Pignatiello, J. J. and Runger, G. C. (1990). Comparisons of multivariate CUSUM charts.
Financial surveillance by Marianne Frisen