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.

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Year of publication:	2006
Authors:	Caiado, Jorge ; Crato, Nuno ; Peña, Daniel
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Classification \| Cluster analysis \| Interpolation \| Periodogram \| Time series

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005621654