Publication: On the comparison of time series using subsampling
Loading...
Identifiers
Publication date
2005-02
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
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.