A coherence-based approach for the pattern recognition of time series

Elizabeth Maharaj () and D’Urso, Pierpaolo
Authors registered in the RePEc Author Service: Pierpaolo D'Urso

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 17, 3516-3537

Abstract: A pattern recognition approach based on the frequency domain measure of squared coherence is a useful approach to identify linearly related groupings of time series over different periods of time. It is considered in an application to identify similar patterns of the yearly rates of change in the Gross Domestic Product (GDP) of twenty two highly developed countries in an econophysics context. The approach is also tested in simulation studies using linearly related time series, and it is shown to have a very good success rate of correct pattern matching.

Keywords: Linearly related time series; Gross Domestic Product; Squared coherence measure; Pattern recognition of time series; Partitioning Around Medoids; Econophysics (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:17:p:3516-3537

DOI: 10.1016/j.physa.2010.03.051

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