Distances between time-series and their autocorrelation statistics

Details Distances between time-series and their autocorrelation statistics Distances between time-series and their autocorrelation statistics

2007-01-05

arxiv.org/abs/math/0701181v1

Mathematics

Optimization and Control

11 pages, no figures

Scientific paper

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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