Robust Functional Supervised Classification for Time Series

Andrés Alonso, David Casado (), Sara López-Pintado and Juan Romo

Journal of Classification, 2014, vol. 31, issue 3, 325-350

Abstract: We propose using the integrated periodogram to classify time series. The method assigns a new time series to the group that minimizes the distance between the series integrated periodogram and the group mean of integrated periodograms. Local computation of these periodograms allows the application of this approach to nonstationary time series. Since the integrated periodograms are curves, we apply functional data depth-based techniques to make the classification robust, which is a clear advantage over other competitive procedures. The method provides small error rates for both simulated and real data. It improves existing approaches and presents good computational behavior. Copyright Classification Society of North America 2014

Keywords: Time series; Supervised classification; Integrated periodogram; Functional data depth (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00357-014-9163-x

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