In statistical data analysis it is often important to compare, classify, and cluster different time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method...

Previous studies have investigated the comovements of international equity returns by using mean correlations, cointegration, common factor analysis, and other approaches. This paper investigates the evolution of the affinity among major euro and non-euro area stock markets in the period...

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 comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we...

The relationship between the implantation of Information and Communication Technologies (ICT) and the achievement of the Sustainable Development Goals (SDG), agreed at the United Nations is studied using regression models based on indicators on the SDG achievement and on the ICT adoption. The 17...

This article introduces two new types of prediction errors in time series: the filtered prediction errors and the deletion prediction errors. These two prediction errors are obtained in the same sample used for estimation, but in such a way that they share some common properties with out of...

This paper analyzes the effect of overdifferencing a stationary AR(p+1) process whoselargest root is near unity. It is found that if the process is nearly nonstationary, the estimators ofthe overdifferenced model ARIMA (p, 1, 0) are root-T consistent. It is also found that thismisspecified ARIMA...