Comparison and Classification of Stationary Multivariate Time Series

Time series often have patterns that form a basis for comparing them or classifying them into groups. In this paper we present procedures to compare and classify stationary multivariate time series. Simulations studies show that the procedures perform fairly well for reasonably long series.

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Year of publication:	1997
Authors:	Maharaj, A.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	ECONOMETRICS \| TIME SERIES

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 11/97 23 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005149054