Distances between time-series and their autocorrelation statistics
classification
🧮 math.OC
math.STstat.TH
keywords
analogousautocorrelationbegincovariancedensitiesdevelopdistancedistances
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We begin with an interpretation of the L1-distance between two power spectral densities and then, following an analogous rationale, we develop a natural metric for quantifying distance between respective covariance matrices.
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