Let(εj)j≥0 be a sequence of independent p-dimensional random vectors and τ≥ 1 a given integer.From a sample ε1,...,εT+τ of the sequence,the so-called lag- auto-covariance matrix is C τ = T-1∑Tj =1
Modeling and estimation of correlation coefficient is a fundamental step in risk management,especially with the aftermath of the financial crisis in 2008,which challenged the traditional measuring of
In this talk,we investigate the problem of monitoring independent large-scale data streams where an undesired event may occur at some unknown time and affect only a few unknown data streams.
In repairable system data analysis it is common to many components of the same type are studied and in these cases it is relevant to verify the heterogeneity between systems.