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Inequality for Variance of Weighted Sum of Correlated Random Variables
Variance Covariance Random Variable Chebyshev!ˉs Inequality Correlated Random Variable Positive Semidefinite Matrix Law of Large Numbers
2012/11/23
The upper bound inequality for variance of weighted sum of correlated random variables is derived according to Cauchy-Schwarz's inequality, while the weights are non-negative with sum of 1. We also gi...
On Control Charts for Monitoring the Variance of a Time Series
control charts CUSUM charts generalized likelihood ratio SPRT Shiryaev-Roberts procedures variance changes time series statistical process control sequential detection
2012/11/22
In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method an...