Friday, December 5, 2008

Comparison of times series with unequal length in the frequency domain

Jorge Caiado

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 makes 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.

Friday, December 5, 2008
Time: 11h00
Room: Sala Delta, Edificio Quelhas, ISEG