Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
417311 | Computational Statistics & Data Analysis | 2008 | 13 Pages |
Abstract
The statistical properties of the autoregressive (AR) distance between ARIMA processes are investigated. In particular, the asymptotic distribution of the squared AR distance and an approximation which is computationally efficient are derived. Moreover, the problem of time series clustering and classification is discussed and the performance of the AR distance is illustrated by means of some empirical applications.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Marcella Corduas, Domenico Piccolo,