R: Cross-correlation based distance.

CCorDistance {TSdist} | R Documentation

## Cross-correlation based distance.

### Description

Computes the distance measure based on the cross-correlation between a pair of numeric time series.

### Usage

    CCorDistance(x, y, lag.max=(min(length(x), length(y))-1))

### Arguments

`x` | Numeric vector containing the first time series.
`y` | Numeric vector containing the second time series.
`lag.max` | Positive integer that defines the maximum lag considered in the cross-correlation calculations (default=`min(length(x), length(y))-1`).

### Details

The cross-correlation based distance between two numeric time series is calculated as follows:

D= √{ ((1 - CC(x, y, 0) ^ 2) / ∑ (1 - CC(x, y, k) ^ 2)) }

where CC(x,y,k) is the cross-correlation between x and y at lag k.

The summatory in the denominator goes from 1 to `lag.max`. In view of this, the parameter must be a positive integer no larger than the length of the series.

### Value

`d` | The computed distance between the pair of series.

### Author(s)

Usue Mori, Alexander Mendiburu, Jose A. Lozano.

### References

Liao, T. W. (2005). Clustering of time series data-a survey. Pattern Recognition, 38(11), 1857-1874.

Pree, H., Herwig, B., Gruber, T., Sick, B., David, K., & Lukowicz, P. (2014). On general purpose time series similarity measures and their use as kernel functions in support vector machines. Information Sciences, 281, 478–495.

### 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.series3 and example.series4 are two
    # numeric series of length 100 and 120 contained in the
    # TSdist package.

    data(example.series3)
    data(example.series4)

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

    help(example.series)

    # Calculate the cross-correlation based distance
    # using the default lag.max.

    CCorDistance(example.series3, example.series4)

    # Calculate the cross-correlaion based distance
    # with lag.max=50.

    CCorDistance(example.series3, example.series4, lag.max=50)

[Package TSdist version 3.6 Index]