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Comparison of times series with unequal length in the frequency domain. (English) Zbl 1161.37348

Summary: 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 article, 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.

MSC:

37M10 Time series analysis of dynamical systems
62H30 Classification and discrimination; cluster analysis (statistical aspects)
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References:

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