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首页> 外文期刊>Journal of statistical computation and simulation >Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
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Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series

机译：通过两组时间序列之间的最大距离比较多个时间序列的自相关结构

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摘要

In this paper, we propose some tests in the time domain to check the equality of autocorrelation structure of multiple (M > 2) independent stationary time series. To develop the tests, multiple time series are divided into two groups in different ways. Given that k time series are in one group and M - k time series are in the other group, test statistics T-M,T- k, k = 1, 2,..., [M/2] are the maximum Mahalanobis difference between 2 groups of time series over all possible ways of such grouping. The asymptotic distributions under the null are derived. An extensive simulation is conducted to check the finite sample properties of the test statistics. Suggestion is given on the selection of test statistics under different situations based on the simulation. The paper provides some options to compare multiple time series when the length of time series is relatively short and M is relatively large. An application of the tests on vibrational data analysis is discussed.
机译：在本文中，我们提出了一些时域测试，以检查多个（M> 2）独立平稳时间序列的自相关结构是否相等。为了开发测试，将多个时间序列以不同的方式分为两组。假设k个时间序列在一组中，而M-k个时间序列在另一组中，则检验统计量TM，T- k，k = 1，2，...，[M / 2]是最大马氏距离之间的差在此类分组的所有可能方式上，分为2组时间序列。推导出零下的渐近分布。进行了广泛的仿真，以检查测试统计信息的有限样本属性。在仿真的基础上，提出了不同情况下测试统计量的选择建议。当时间序列的长度相对较短而M相对较大时，本文提供了一些比较多个时间序列的选项。讨论了该测试在振动数据分析中的应用。

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