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

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Author Info
Caiado, Jorge
Crato, Nuno
Peña, Daniel

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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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Publisher 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.

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

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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. [Downloadable!] (restricted)
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This page was last updated on 2008-11-17.

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