diss.SPEC.ISD: Dissimilarity Based on the Integrated Squared Difference...

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/diss.R

Description

Computes the dissimilarity between two time series in terms of the integrated squared difference between non-parametric estimators of their log-spectra.

Usage

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Arguments

x

Numeric vector containing the first of the two time series.

y

Numeric vector containing the second of the two time series.

plot

If TRUE, plot the smoothed spectral densities of the two series.

n

The number of points to use for the linear interpolation. A value of n=0 uses numerical integration instead of linear interpolation. See details.

Details

d(x,y) = INT( (m_x(λ) - m_y(λ))^2 )dλ

where m_x(λ) and m_y(λ) are local linear smoothers of the log-periodograms, obtained using the maximum local likelihood criterion.

By default, for performance reasons, the spectral densities are estimated using linear interpolation using n points. If n is 0, no linear interpolation is performed, and integrate is used to calculate the integral, using as many points as integrate sees fit.

Value

The computed distance.

Author(s)

Pablo Montero Manso, Jos<c3><a9> Antonio Vilar.

References

P<c3><a9>rtega, S. and Vilar, J.A. (2010) Comparing several parametric and nonparametric approaches to time series clustering: A simulation study. J. Classification, 27(3), 333–362.

Montero, P and Vilar, J.A. (2014) TSclust: An R Package for Time Series Clustering. Journal of Statistical Software, 62(1), 1-43. http://www.jstatsoft.org/v62/i01/.

See Also

diss.SPEC.GLK, diss.SPEC.LLR

Examples

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## Create two sample time series
x <- cumsum(rnorm(50))
y <- cumsum(rnorm(50))
z <- sin(seq(0, pi, length.out=50))
## Compute the distance and check for coherent results
diss.SPEC.ISD(x, y, plot=TRUE) 
#create a dist object for its use with clustering functions like pam or hclust
## Not run: 
diss.SPEC.ISD(x, y, plot=TRUE, n=0)#try integrate instead of interpolation
diss( rbind(x,y,z), "SPEC.ISD" )

## End(Not run)

TSclust documentation built on May 29, 2017, 9:46 a.m.

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