Affordable Access

ON THE COMPARISON OF TIME SERIES USING SUBSAMPLING

Authors
Source
legacy-msw

Abstract

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.

There are no comments yet on this publication. Be the first to share your thoughts.