On the Similarity and Dependence of Time Series

Vilém Novák and Soheyla Mirshahi
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Vilém Novák: Institute for Research and Applications of Fuzzy Modeling, University of Ostrava, NSC IT4Innovations, 30. dubna 22, 701 03 Ostrava 1, Czech Republic
Soheyla Mirshahi: Institute for Research and Applications of Fuzzy Modeling, University of Ostrava, NSC IT4Innovations, 30. dubna 22, 701 03 Ostrava 1, Czech Republic

Mathematics, 2021, vol. 9, issue 5, 1-14

Abstract: In this paper, we undertake the problem of evaluating interrelation among time series. Interrelation is measured using a similarity index. In this paper, we suggest a new one based on the known fuzzy transform (F-transform), which has been proven to remove higher frequencies than a given threshold and reduce the random noise significantly. The F-transform also provides an estimation of the slope of time series in a given imprecisely delineated time. We prove some of the suggested index properties and show its ability to measure similarity (and thus the interrelation) on a selection of several real financial time series. The method is well interpretable and easy to adjust.

Keywords: fuzzy transform; F-transform; evaluative linguistic expressions (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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