Article ID Journal Published Year Pages File Type
417311 Computational Statistics & Data Analysis 2008 13 Pages PDF
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
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