diss.SPEC.ISD {TSclust}

Dissimilarity Based on the Integrated Squared Difference between the Log-Spectra

Description

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

Usage

diss.SPEC.ISD(x, y, plot=FALSE, n=length(x))

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 ( \hat{m}_x(\lambda) - \hat{m}_y(\lambda))^2 \, d\lambda,

where \hat{m}_x(\lambda) and \hat{m}_y(\lambda) 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, José Antonio Vilar.

References

Pértega, 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

## 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

diss.SPEC.ISD(x, y, plot=TRUE, n=0)#try integrate instead of interpolation
diss( rbind(x,y,z), "SPEC.ISD" )