• The Korean Journal of Applied Statistics
• /
• v.21 no.3
• /
• pp.547-560
• /
• 2008

It is well known that spectral density function determines auto-covariance function of stationary time-series data and smoothed periodogram is a consistent estimator of spectral density function. Recently, Kim and Park (2007) showed that smoothed- periodogram based distances performs very well for the classification. In this paper, we introduce classification methods with smoothed periodogram and apply the approaches to the monthly precipitation measurements obtained from January, 1987 through December, 2007 at 22 locations in South Korea.

• Communications for Statistical Applications and Methods
• /
• v.17 no.3
• /
• pp.377-390
• /
• 2010

In the case of time-series analysis, it is often more convenient to rely on the frequency domain than the time domain. Spectral density is the core of the frequency-domain analysis that describes autocorrelation structures in a time-series process. Possible ways to estimate spectral density are to compute a periodogram or to average the periodogram over some frequencies with (un)equal weights. This can be an attractive tool to measure the similarity between time-series processes. We employ the metrics based on a smoothed periodogram proposed by Park and Kim (2008) for the classification of different classes of time-series processes. We consider several lag windows with unequal weights instead of a modified Daniel's window used in Park and Kim (2008). We evaluate the performance under various simulation scenarios. Simulation results reveal that the metrics used in this study split the time series into the preassigned clusters better than do the raw-periodogram based ones proposed by Caiado et al. 2006. Our metrics are applied to an economic time-series dataset.