Vicente, Renato; Pereira, Carlos de B.; Leite, Vitor B.P.; … - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 317-324
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the sorting points into neighborhoods (SPIN) technique, which has...