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Authors
Advisor(s)
Abstract(s)
The statistical discrimination and clustering literature has studied the problem of identifying similarities in time series data. Some studies use non-parametric approaches for splitting a set of time series into clusters by looking at their Euclidean distances in the space of points. A new measure of distance between time series based on the normalized periodogram is proposed. Simulation results comparing this measure with others parametric and non-parametric metrics are provided. In particular, the classification of time series as stationary or as non-stationary is discussed. The use of both hierarchical and non-hierarchical clustering algorithms is considered. An illustrative example with economic time series data is also presented.
Description
Keywords
Autocorrelation Function Classification Clustering Euclidean Distance Periodogram Stationary and Non-stationary Time Series
Pedagogical Context
Citation
Caiado, Jorge; Nuno Crato and Daniel Peña .(2006). “A periodogram-based metric for time series classification”. Computational Statistics & Data Analysis, Vol. 50: pp. 2668 – 2684. (Search PDF in 2023).
Publisher
Elsevier