Spectrum-based comparison of stationary multivariate time series

DOI10.1007/S11009-010-9180-0MaRDI QIDQ607626zbMATH OpenOpenAlexFDO

Authors Jaydip Mukhopadhyay, Nalini Ravishanker, Jonathan R. M. Hosking

Publication date 22 November 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9180-0

zbMATH Keywords

hierarchical clusteringlikelihood ratiospectral density matrixquasi-distanceperiodogram matrix

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Discrimination and Clustering for Multivariate Time Series
• Finding Groups in Data
• On the Complex Analogues of $T^2$- and $R^2$-Tests
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• The Distribution of the Determinant of a Complex Wishart Distributed Matrix

Cited in

(7)

• Bispectral-based methods for clustering time series
• Scaled Largest Eigenvalue Detection for Stationary Time-Series
• Time series clustering and classification via frequency domain methods
• The hierarchical spectral merger algorithm: a new time series clustering procedure
• scientific article; zbMATH DE number 967292 (Why is no real title available?)
• Comparison of Times Series with Unequal Length in the Frequency Domain
• Clustering nonlinear, nonstationary time series using BSLEX

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Uses Software

• clusfind

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