An interpolated periodogram-based metric for comparison of time series with unequal lengths
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.
|Date of creation:||2006|
|Date of revision:|
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Web page: https://mpra.ub.uni-muenchen.de
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- 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.
- 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.
- Maharaj, Elizabeth Ann, 2002. "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, vol. 40(1), pages 131-141, July.
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