ON THE COMPARISON OF TIME SERIES USING SUBSAMPLING
In this paper we propose a procedure based on the subsampling techniques for the comparison of stationary time series that are not necessarily independent. We study a test based on the Euclidean distance between the autocorrelation functions of two series. Consistency of the proposed method is established. We present a Monte Carlo study with the size and the power of the proposed test.
Year of publication: |
2005-02
|
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Authors: | Alonso, Andres M. ; Maharaj, Elizabeth A. |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
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