Comparison of time series using subsampling

DOI10.1016/J.CSDA.2005.04.010MaRDI QIDQ959346zbMATH OpenOpenAlexFDO

Authors Andres M. Alonso, Elizabeth Ann Maharaj

Publication date 11 December 2008

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

Full work available at URL http://hdl.handle.net/10016/222

zbMATH Keywords

resamplingstationary time seriescomparison

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• A Powerful Portmanteau Test of Lack of Fit for Time Series
• A significance test for classifying arma models
• A test for a difference between spectral peak frequencies.
• Clusters of time series
• Inference For Autocorrelations Under Weak Assumptions
• Large sample confidence regions based on subsamples under minimal assumptions
• Large-sample tests of homogeneity for time series models
• Nonparametric Comparison of Cumulative Periodograms
• On the asymptotic theory of subsampling
• Resampling methods for dependent data
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification
• Subsampling
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES

Cited in

(26)

• USING WAVELETS TO COMPARE TIME SERIES PATTERNS
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• On the classification of financial data with domain agnostic features
• Cophenetic-based fuzzy clustering of time series by linear dependency
• Comparing non-stationary and irregularly spaced time series
• Subsampling for nonstationary time series with non-zero mean function
• Biological applications of time series frequency domain clustering
• \(K\)-sample subsampling in general spaces: the case of independent time series
• A data-driven test to compare two or multiple time series
• GARCH-based robust clustering of time series
• Robust fuzzy clustering based on quantile autocovariances
• Buckling behavior of perfect and defective DWCNTs under axial, bending and torsional loadings via a structural mechanics approach
• Model-based fuzzy time series clustering of conditional higher moments
• Comparison of stationary time series using distribution-free methods
• Testing for the equivalence of several sets of time series and its multiple comparison procedure
• A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
• Resampling and Subsampling for Financial Time Series
• Robust tests for time series comparison based on Laplace periodograms
• Investigation of vacancy defects effects on the buckling behavior of SWCNTs via a structural mechanics approach
• Subsampling and model selection in time series analysis
• Fuzzy clustering of time series based on weighted conditional higher moments
• Noise fuzzy clustering of time series by autoregressive metric
• Stochastic variational inference for GARCH models
• Discrimination of locally stationary time series using wavelets
• A computational bootstrap procedure to compare two dependent time series

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