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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|
|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|
|Appears in Collections:||DES - Working Papers. Statistics and Econometrics. WS|
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