Comparison of time series with unequal length in the frequency domain

Caiado, Jorge and Crato, Nuno and Peña, Daniel (2009): Comparison of time series with unequal length in the frequency domain. Published in: Communications in Statistics: Simulation and Computation , Vol. 38, (April 2009): pp. 527-542.

Abstract

In statistical data analysis it is often important to compare, classify, and cluster different time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method for handling time series of unequal length. The method make the spectral estimates comparable by producing statistics at the same frequency. The procedure is compared with other methods proposed in the literature by a Monte Carlo simulation study. As an illustrative example, the proposed spectral method is applied to cluster industrial production series of some developed countries.

• Item Type: MPRA Paper
• Language: English
• Keywords: Autocorrelation function; Cluster analysis; Interpolated periodogram; Reduced periodogram; Spectral analysis; Time series; Zero-padding.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C0 - General

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