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EnglishThe 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. © 2007 Elsevier B.V. All rights reserved.
| Titolo: | Time series clustering and classification by the autoregressive metric | |
| Autori: | ||
| Data di pubblicazione: | 2008 | |
| Rivista: | ||
| Abstract: | The statistical properties of the autoregressive (AR) distance between ARIMA processes are invest...igated. 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. © 2007 Elsevier B.V. All rights reserved. | |
| Handle: | http://hdl.handle.net/11588/205133 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| COMSTA3732_Corduas.pdf | Documento in Post-print | Accesso privato/ristretto | Administrator Richiedi una copia | |
| COMSTA3732_Corduas.pdf | Documento in Post-print | Accesso privato/ristretto | Administrator Richiedi una copia |
http://hdl.handle.net/11588/205133
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