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• W2949263148 abstract "We propose and study a new frequency-domain procedure for characterizing and comparing large sets of long time series. Instead of using all the information available from data, which would be computationally very expensive, we propose some regularization rules in order to select and summarize the most relevant information for clustering purposes. Essentially, we suggest to use a fragmented periodogram computed around the driving cyclical components of interest and to compare the various estimates. This procedure is computationally simple, but able to condense relevant information of the time series. A simulation exercise shows that the smoothed fragmented periodogram works in general better than the non-smoothed one and not worse than the complete periodogram for medium to large sample sizes. We illustrate this procedure in a study of the evolution of several stock markets indices. We further show the effect of recent financial crises over these indices behaviour." @default.
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• W2949263148 date "2019-06-14" @default.
• W2949263148 modified "2023-10-05" @default.
• W2949263148 title "A fragmented-periodogram approach for clustering big data time series" @default.
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• W2949263148 doi "https://doi.org/10.1007/s11634-019-00365-8" @default.
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