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Comparison and classification of stationary multivariate time series

✍ Scribed by Elizabeth Ann Maharaj

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
106 KB
Volume
32
Category
Article
ISSN
0031-3203

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✦ Synopsis

This paper presents procedures to compare and classify stationary multivariate time series. The classi"cation procedure is based on the p-value of a test of hypothesis that is performed for every pair of series under consideration. The test of hypothesis is based on the di!erence between vector autoregressive parameter estimates of the series. Simulation studies show that the test of hypothesis and the classi"cation procedure perform fairly well for series of reasonable length.

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