R: Dissimilarity based on the Generalized Likelihood Ratio Test

SpecGLKDistance {TSdist} | R Documentation

## 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.

### 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.

### Value

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

### Author(s)

Usue Mori, Alexander Mendiburu, Jose A. Lozano.

### 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)

[Package TSdist version 3.6 Index]