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DES - Working Papers. Statistics and Econometrics. WS >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/222
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| Title: | On the comparison of time series using subsampling |
| Author(s): | Alonso, Andrés M.
Maharaj, Elizabeth A. |
| Issued date: | Feb-2005 |
| URI: | http://hdl.handle.net/10016/222 |
| 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. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
2005-02 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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