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. © 2007 Elsevier B.V. All rights reserved.

Time series clustering and classification by the autoregressive metric / Corduas, Marcella; Piccolo, Domenico. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - STAMPA. - 52:4(2008), pp. 1860-1872. [10.1016/j.csda.2007.06.001]

Time series clustering and classification by the autoregressive metric

CORDUAS, MARCELLA;PICCOLO, DOMENICO
2008

Abstract

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. © 2007 Elsevier B.V. All rights reserved.
2008
Time series clustering and classification by the autoregressive metric / Corduas, Marcella; Piccolo, Domenico. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - STAMPA. - 52:4(2008), pp. 1860-1872. [10.1016/j.csda.2007.06.001]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/205133
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