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Comparison and Classification of Stationary Multivariate Time Series

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journal contribution
posted on 07.06.2017, 05:19 by Maharaj, Ann
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.

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1997

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Department of Econometrics and Business Statistics.

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