Comparison ans Classification of Stationary Multivariate Time Series

Time series often have patterns that form a basis for comparing them or classifying them into groups. Pattern recognition of time series arises in a number of practical situations. Procedures for the comparison and classification of univariate stationary series already exist in the literature. A famous application is the comparison and classification of earthquake and nuclear explosion waveforms - Shumway (1982). In this paper we present procedures to compare and classifi,stationary multivariate time series. Simulations studies show that the procedures perform fairly well for reasonably long series.


Issue Date:
Nov 01 1997
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
25
Series Statement:
Working Paper 11/97




 Record created 2018-02-06, last modified 2018-02-07

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