Douglas M. Hawkins, Edgard M. Maboudou-Tchao. Multivariate Exponentially Weighted Moving Covariance Matrix. Technometrics, 50(2):155-166, 2008. [doi]
@article{HawkinsM08,
title = {Multivariate Exponentially Weighted Moving Covariance Matrix},
author = {Douglas M. Hawkins and Edgard M. Maboudou-Tchao},
year = {2008},
doi = {10.1198/004017008000000163},
url = {http://dx.doi.org/10.1198/004017008000000163},
researchr = {https://researchr.org/publication/HawkinsM08},
cites = {0},
citedby = {0},
journal = {Technometrics},
volume = {50},
number = {2},
pages = {155-166},
}