[R] multiple comparisons of time series data

From: Kyle Hall <kylehall_at_vt.edu>
Date: Sat 27 May 2006 - 02:02:31 EST


I am interested in a statistical comparison of multiple (5) time series' generated from modeling software (Hydrologic Simulation Program Fortran). The model output simulates daily bacteria concentration in a stream. The multiple time series' are a result of varying our representation of the stream within the model.

Our main question is: Do the different methods used to represent a stream produce different results at a statistically significant level?

We want to compare each otput time series to determine if there is a difference before looking into the cause within the model. In a previous study, the Kolmogorov-Smirnov k-sample test was used to compare multiple time series'.

I am unsure about the strength of the Kolmogorov-Smirnov test and I have set out to determine if there are any other tests to compare multiple time series'.

I know htat R has the ks.test but I am unsure how this test handles multiple comparisons. Is there something similar to a pairwise.t.test with a bonferroni corection, only with time series data?

Does R currently (v 2.3.0) have a comparison test that takes into account the strong serial correlation of time series data?

Kyle Hall

Graduate Research Assistant
Biological Systems Engineering
Virginia Tech



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