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Comparison of time series with unequal length in the frequency domain

Jorge Caiado (), Nuno Crato () and Daniel Peña ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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 for handling time series of unequal length. The method make the spectral estimates comparable by producing statistics at the same frequency. The procedure is compared with other methods proposed in the literature by a Monte Carlo simulation study. As an illustrative example, the proposed spectral method is applied to cluster industrial production series of some developed countries.

Keywords: Autocorrelation function; Cluster analysis; Interpolated periodogram; Reduced periodogram; Spectral analysis; Time series; Zero-padding. (search for similar items in EconPapers)
JEL-codes: C32 C0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Date: 2009-04
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