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The Bootstrap for Testing the Equality of Two Multivariate Stochastic Processes with an Application to Financial Markets
(MDPI, 2022)
[Abstract] The problem of testing the equality of generating processes of two multivariate time series is addressed in this work. To this end, we construct two tests based on a distance measure between stochastic processes. ...
Unsupervised classification of categorical time series through innovative distances
(Avestia Publishing, 2022)
[Abstract]: In this paper, two novel distances for nominal time series are introduced. Both of them are based on features describing the serial dependence patterns between each pair of categories. The first dissimilarity ...