TSdist (version 3.1)

SpecGLKDistance: Dissimilarity based on the Generalized Likelihood Ratio Test

Description

The dissimilarity of two numerical series of the same length is calculated based on an adaptation of the generalized likelihood ratio test.

Usage

SpecGLKDistance(x, y, ...)

Arguments

x

Numeric vector containing the first time series.

y

Numeric vector containing the second time series.

...

Additional parameters for the function. See diss.PER for more information.

Value

• d
  The computed distance between the pair of series.

Details

This function simply intends to be a wrapper for the diss.SPEC.GLK function of package TSclust. However, in the 1.2.3 version of the TSclust package we have found an error in the call to this function. As such, in this version, the more general diss function, designed for distance matrix calculations of time series databases, is used to calculate the spec.glk distance between two series. Once this bug is fixed in the original package, we will update our call procedure.

References

Pablo Montero, José A. Vilar (2014). TSclust: An R Package for Time Series Clustering. Journal of Statistical Software, 62(1), 1-43. URL http://www.jstatsoft.org/v62/i01/.

See Also

To calculate this distance measure using ts, zoo or xts objects see TSDistances. To calculate distance matrices of time series databases using this measure see TSDatabaseDistances.

Examples

# The objects example.series1 and example.series2 are two 
# numeric series of length 100. 

data(example.series1)
data(example.series2)

# For information on their generation and shape see 
# help page of example.series.

help(example.series)

# Calculate the ar.mah distance between the two series using
# the default parameters. 

SpecGLKDistance(example.series1, example.series2)