Comparison ans Classification of Stationary Multivariate Time Series

Ann Maharaj

No 267933, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Time series often have patterns that form a basis for comparing them or classifying them into groups. Pattern recognition of time series arises in a number of practical situations. Procedures for the comparison and classification of univariate stationary series already exist in the literature. A famous application is the comparison and classification of earthquake and nuclear explosion waveforms - Shumway (1982). In this paper we present procedures to compare and classifi,stationary multivariate time series. Simulations studies show that the procedures perform fairly well for reasonably long series.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 25
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267933

DOI: 10.22004/ag.econ.267933

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