On the comparison of time series using subsampling

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dc.contributor.author Alonso Fernández, Andrés Modesto
dc.contributor.author Maharaj, Elizabeth Ann
dc.date.accessioned 2006-11-09T10:56:57Z
dc.date.available 2006-11-09T10:56:57Z
dc.date.issued 2005-02
dc.identifier.uri http://hdl.handle.net/10016/222
dc.description.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.
dc.format.extent 595241 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 2005-02
dc.title On the comparison of time series using subsampling
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws050702
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