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Time series clustering and classification by the autoregressive metric. (English) Zbl 1452.62624
Summary: The statistical properties of the autoregressive (AR) distance between ARIMA processes are investigated. In particular, the asymptotic distribution of the squared AR distance and an approximation which is computationally efficient are derived. Moreover, the problem of time series clustering and classification is discussed and the performance of the AR distance is illustrated by means of some empirical applications.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H30 Classification and discrimination; cluster analysis (statistical aspects)
62-08 Computational methods for problems pertaining to statistics
Software:
AS 256; clusfind
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