Equidirection: A Measure of Similarity Among Time Series

✍ Scribed by Dr. A. Yassouridis; E. Hansert

• Publisher: John Wiley and Sons
• Year: 1986
• Tongue: English
• Weight: 557 KB
• Volume: 28
• Category: Article
• ISSN: 0323-3847
• DOI: 10.1002/bimj.4710280616

✦ Synopsis

In the present paper we investigate the concept of equidirection, i.e. similarity in the direction of variation, or parallelism in the broader sense, among m (m ~2 )

times series, especially under the assumption that the time series are realizations of pwesses with independent incremente. 3owever. the processes need not be stationary. Furthermore, the probabilities for the direction of variation may be unstable, in which case only upper and lower bounde are known. A meamre based on the concept of equidirection was developed that enables identification of clusters of similar time series and analysis of relationships among variables.

Key word: Similarity among time seriea

We also assume that they represent realizations of corresponding stochastic X:'), Xi", ..., X:"', t~ T = ( a , PI;