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Activity Number:
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28
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Type:
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Contributed
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Date/Time:
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Sunday, August 6, 2006 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Statistical Computing
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| Abstract - #307191 |
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Title:
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Comparisons of Sets of Multivariate Time Series
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Author(s):
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Jaydip Mukhopadhyay*+ and Nalini Ravishanker and Jonathan Hosking
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Companies:
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University of Connecticut and University of Connecticut and IBM Research
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Address:
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Department of Statistics, Storrs, CT, 06269,
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Keywords:
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cross-spectra ; likelihood ratio test ; maximum periodogram ordinate test
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Abstract:
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We discuss the problem of comparison of several multivariate time series via their spectral properties. For two independent multivariate Gaussian stationary time series, such a comparison is made via a likelihood ratio test based on the estimated cross-spectra of the series. This is an extension of the maximum periodogram ordinate test developed in the literature to compare two independent univariate stationary time series. A simulation based critical value enables effective comparison of several such multivariate time series, and is useful in applications to biomedical time series or marketing or manufacturing time series. The spectral approach is extended for the comparison of non-Gaussian and/or nonlinear time series.
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