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A functional data based method for time series classification

Andrés Modesto Alonso Fernández, David Casado, Sara López Pintado and Juan Romo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We propose using the integrated periodogram to classify time series. The method assigns a new element to the group minimizing the distance from the integrated periodogram of the element to the group mean of integrated periodograms. Local computation of these periodograms allows the application of the approach to non- -stationary time series. Since the integrated periodograms are functional data, we apply depth-based techniques to make the classification robust. The method provides small error rates with both simulated and real data, and shows good computational behaviour.

Keywords: Time; series; Classification; Integrated; periodogram; Data; depth (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2008-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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