stepp: Stepp

In SLBDD: Statistical Learning for Big Dependent Data

Stepp

Description

To compute and plot the observed and simulated distances for measuring similarity between time series. The distance can be computed using ACF, PACF, AR-coefficients, or Periodogram.

Usage

stepp(
  x,
  M = 100,
  lmax = 5,
  alpha = 0.95,
  dismethod = "ACF",
  clumethod = "complete"
)

Arguments

x	T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns.
M	Number of simulation realizations. Default value is 100.
lmax	Number of lags used (for ACF, PACF, AR-coefficient). Default value is 5.
alpha	Quantile used in the plotting. Default value is 0.95.
dismethod	Summary statistics of each time series to be used in computing distance. Choices include “ACF”, “PACF”, “AR.PIC” and “PER”. Default is "ACF".
clumethod	Hierarchical clustering method: choices include “single”, “average”, and “complete”. Default is “complete”.

Details

The Empirical Dynamic Quantile of the series is obtained, a set of Txk series is generated and the heights in the dendrogram are obtained. This is repeated M times and the alpha quantile of the results of the M simulations are reported. Both dendrogram's heights and steps (differences) of these heights are compared.

Value

Two plots are given in output:

The first plot shows the “height” of the dendrogram. Solid line is the observed height. The points denote the alpha quantile of heights based on the simulated series.

The second plot shows the “step” of the dendrogam (increments of heights). Solid line is the observed increments and the points are those of selected quantile for the simulated series.

A list containing:

• mh - alpha quantile of heights based on the simulated series.

• mdh - increments of selected quantile for the simulated series.

• hgt - observed height.

• hgtincre - observed increments.

• Mh - the alpha quantile of the results of the M simulations are reported.

Examples

data(TaiwanAirBox032017)
output <- stepp(as.matrix(TaiwanAirBox032017[,1:50]), M = 2)

SLBDD documentation built on April 27, 2022, 5:08 p.m.