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Comparison and Classification of Stationary Multivariate Time Series

Author

Listed:
  • 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.

Suggested Citation

  • Maharaj, A., 1997. "Comparison and Classification of Stationary Multivariate Time Series," Monash Econometrics and Business Statistics Working Papers 11/97, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1997-11
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    Keywords

    ECONOMETRICS ; TIME SERIES;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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