Missing data is a problem appearing ubiquitously across many fields and needs to be dealt with systematically. For multivariate time series data imputation can be a challenging problem. We consider the particular case of credit default swap time series, where missing data can pose a considerable...

In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM...

Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statistical...