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

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  • Caiado, Jorge
  • Crato, Nuno
  • Peña, Daniel

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.

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File URL: http://mpra.ub.uni-muenchen.de/2075/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2075.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:2075

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Related research

Keywords: Classification; Cluster analysis; Interpolation; Periodogram; Time series;

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  1. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
  2. Maharaj, E.A., 2001. "Comparison of Non-Stationary Time Series in the Frequency Domain," Monash Econometrics and Business Statistics Working Papers 1/01, Monash University, Department of Econometrics and Business Statistics.
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