Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series

DOI10.1080/00949655.2014.984715MaRDI QIDQ5222304zbMATH OpenOpenAlexFDO

Authors Lei Jin

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.984715

zbMATH Keywords

autocorrelationMahalanobis distancestationary time seriesvibrational data

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• A data-driven test to compare two or multiple time series
• A note on using periodogram-based distances for comparing spectral densities
• A periodogram-based metric for time series classification
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• Comparison of Times Series with Unequal Length in the Frequency Domain
• Comparison of time series using subsampling
• Sequential estimation for the autocorrelations of linear processes
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Testing equality of stationary autocovariances
• Time series: theory and methods.

Cited in

(4)

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• A sliding window-based multi-stage clustering and probabilistic forecasting approach for large multivariate time series data
• A new test for checking the equality of the correlation structures of two time series
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