An interpolated periodogram-based metric for comparison of time series with unequal lengths

Jorge Caiado, Nuno Crato () and Daniel Peña

MPRA Paper from University Library of Munich, Germany

Abstract: We propose a periodogram-based metric for classification and clustering of time series with different sample sizes. For such cases, we know that the Euclidean distance between the periodogram ordinates cannot be used. One possible way to deal with this problem is to interpolate lineary one of the periodograms in order to estimate ordinates of the same frequencies.

Keywords: Classification; Cluster analysis; Interpolation; Periodogram; Time series (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:2075

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