- Tytuł:
- Comparing changes over time for two phenomena
- Autorzy:
- Miłek, Michał
- Powiązania:
- https://bibliotekanauki.pl/articles/584959.pdf
- Data publikacji:
- 2015
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
time series comparing
permutation test
distance measure - Opis:
- Statistical analyses in economics are often based on explaining the phenomena by comparing time series. The purpose of such types of analyses is to find out the similarity and schematic behavior of phenomena which appear in the data. Usual time series are compared with the use of a different similarity measure which, in accordance with the literature, could be divided into four categories. In this article, I propose a method that allows to indicate whether two time series are generated by the same stochastic processes. For this purpose, I analyze a method based on a permutation test. The idea of this test is much simpler than the tests based on theoretical distributions. I also conducted a simulation analysis based on the data generated according to different scenarios, subsequently comparing the results of that analysis.
- Źródło:
-
Mathematical Economics; 2015, 11(18); 89-98
1733-9707 - Pojawia się w:
- Mathematical Economics
- Dostawca treści:
- Biblioteka Nauki
Artykuł