A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples

DOI10.1016/j.csda.2012.11.014zbMath1365.62345OpenAlexW2057331134MaRDI QIDQ2361221

Shen Liu, Elizabeth Ann Maharaj

Publication date: 30 June 2017

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/73235/3/73235a.pdf

zbMATH Keywords

hypothesis testingautoregressive modelstime series classificationsmall samplesbias-adjusted AR estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Polarization of forecast densities: a new approach to time series classification ⋮ A random-projection based test of Gaussianity for stationary processes ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic

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