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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
Authors: Alonso, Andres M. ; Maharaj, Elizabeth A.
Institutions: Departamento de Estadistica, Universidad Carlos III de Madrid
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Source:
Persistent link: https://www.econbiz.de/10005190174
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