Possible Statistical Comparison of Two Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F19%3A43955791" target="_blank" >RIV/49777513:23520/19:43955791 - isvavai.cz</a>
Result on the web
<a href="https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf" target="_blank" >https://mme2019.ef.jcu.cz/files/conference_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Possible Statistical Comparison of Two Time Series
Original language description
The most often discussed problem is the comparison of two time series (for example financial or non-financial time series). The proposed approach can be assessed on the base of knowledge of the set of past values and the assumption that there is no significant change in the used probability model. The presented paper is motivated by the approach of positive and quadrant dependence. There is a “power of matching” between two time series, which can be measured (or estimated) in many ways. The problem may occur with their non-stationarity. One solution to this problem can be the quantification of preserving (or not preserving) probability of a monotone relationship. It means the probability that the values of the first time series are increasing and the values of the second time series are also increasing and similarly for consistent decreases. One measure for this quantification is proposed here followed by application on real data sets (Prague Stock Exchange) to estimate the price of one asset depending on the price of another asset.
Czech name
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Czech description
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Project
<a href="/en/project/LO1506" target="_blank" >LO1506: Sustainability support of the centre NTIS - New Technologies for the Information Society</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
37TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
191-196
Publisher name
University of South Bohemia in České Budějovice, Faculty of Economics
Place of publication
České Budějovice
Event location
Ceske Budejovice, CZECH REPUBLIC
Event date
Sep 11, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000507570400031

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