Monitoring the covariance matrix via penalized likelihood estimation
نویسندگان
چکیده
BO LI1, KAIBO WANG2 and ARTHUR B. YEH3,∗ 1Research Center for Contemporary Management, Key Research Institute of Humanities and Social Sciences at Universities, School of Economics and Management, Tsinghua University, Beijing 100084, People’s Republic of China 2Department of Industrial Engineering, Tsinghua University, Beijing 100084, People’s Republic of China 3Department of Applied Statistics and Operations Research, Bowling Green State University, Bowling Green, OH 43403, USA E-mail: [email protected]
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