10.4225/03/59378ce4e037a
Maharaj, Ann
Ann
Maharaj
Comparison and Classification of Stationary Multivariate Time Series
Monash University
2017
1959.1/36090
monash:6935
1997
2017-06-07 05:19:31
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/Comparison_and_Classification_of_Stationary_Multivariate_Time_Series/5085187
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 classify stationary multivariate time series. Simulations studies show that the procedures perform fairly well for reasonably long series.