O uso de quase U-estatísticas para séries temporais uni e multivaridas / The use of quasi U-statistics for univariate and multivariate time series

AUTOR(ES)

Marcio Valk

DATA DE PUBLICAÇÃO

2011

RESUMO

Classifcation and clustering of time series are problems widely explored in the current literature. Many techniques are presented to solve these problems. However, the necessary restrictions in general, make the procedures specific and applicable only to a certain class of time series. Moreover, many of these approaches are empirical. We present methods for classi_cation and clustering of time series based on Quasi U-statistics (Pinheiro et al. (2009) and Pinheiro et al. (2010)). As kernel of U-statistics are used metrics based on tools well known in the literature of time series, including the sample autocorrelation and periodogram. Three main situations are considered: univariate time series, multivariate time series, and time series with outliers. It is demonstrated the asymptotic normality of the proposed tests for a wide class of metrics and models. The methods are also studied by simulation and applied in a real data set.

ASSUNTO(S)

análise de séries temporais series temporais estatística não paramétrica testes de hipoteses estatisticas valores estranhos (estatistica) teoria da previsão time-series analysis time-series nonparametric statistics statistical hypothesis testing outliers (statistics) prediction theory

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