On the comparison of time series using subsampling

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