Time series clustering and classification by the autoregressive metric
Time series clustering and classification by the autoregressive metric
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DOI：
10.1016/j.csda.2007.06.001
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发表时间：
2008-01-10
影响因子：
1.8
通讯作者：
Piccolo, Domenico
中科院分区：
文献类型：
--
作者：
Corduas, Marcella;Piccolo, Domenico
研究了ARIMA过程间自回归（AR）距离的统计特性。特别是，渐近分布的平方AR距离和近似，这是计算效率。此外，时间序列的聚类和分类的问题进行了讨论，并通过一些实证应用说明了AR距离的性能。(C)2007年爱思唯尔B.V.保留所有战斗。
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. (C) 2007 Elsevier B.V. All fights reserved.