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Comparison ans Classification of Stationary Multivariate Time Series

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  • Maharaj, Ann

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.

Suggested Citation

  • Maharaj, Ann, "undated". "Comparison ans Classification of Stationary Multivariate Time Series," Department of Econometrics and Business Statistics Working Papers 267933, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267933
    DOI: 10.22004/ag.econ.267933
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