An interpolated periodogram-based metric for comparison of time series with unequal lengths

Caiado, Jorge and Crato, Nuno and Peña, Daniel (2006): An interpolated periodogram-based metric for comparison of time series with unequal lengths. Published in: Proceedings of the 2006 Joint Statistical Meetings, American Statistical Association

Abstract

We propose a periodogram-based metric for classification and clustering of time series with different sample sizes. For such cases, we know that the Euclidean distance between the periodogram ordinates cannot be used. One possible way to deal with this problem is to interpolate lineary one of the periodograms in order to estimate ordinates of the same frequencies.

• Item Type: MPRA Paper
• Language: English
• Keywords: Classification; Cluster analysis; Interpolation; Periodogram; Time series
• 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

References

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