Discriminant Analysis for ARMA Models Based on Divergency Criterion: A Frequency Domain Approach
Rahim Chinipardaz, Behzad Mansoury, Sara Shafiei Babaei · Journal of Statistical Research of Iran · 2009
The extension of classical analysis to time series data is the basic problem faced in many fields, such as engineering, economic and medicine. The main objective of discriminant time series analysis is to examine how far it is possible to distinguish between various groups. There are two situations to be considered in the linear time series models. Firstly when the main discriminatory information contained in mean function and secnodly when the mean functions are equal and discriminotary information is in the autocovariance functions. The latter case is more interested because the the first case is well documnted.