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Comparison and Classification of Stationary Multivariate Time Series

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Author Info
Maharaj, A.
Abstract

Time series often have patterns that form a basis for comparing them or classifying them into groups. 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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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 11/97.

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Length: 23 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:msh:ebswps:1997-11

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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Related research
Keywords: ECONOMETRICS ; TIME SERIES;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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This page was last updated on 2009-12-16.


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