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On the comparison of time series using subsampling

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorAlonso Fernández, Andrés Modestoes
dc.contributor.authorMaharaj, Elizabeth Ann
dc.date.accessioned2006-11-09T10:56:57Z
dc.date.available2006-11-09T10:56:57Z
dc.date.issued2005-02es
dc.description.abstractIn 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.es
dc.format.extent595241 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws050702
dc.identifier.urihttp://hdl.handle.net/10016/222
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometricses
dc.relation.ispartofseries2005-02es
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.titleOn the comparison of time series using subsamplinges
dc.typeworking paper*
dspace.entity.typePublication
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