Time series clustering and classification by the autoregressive metric

The statistical properties of the autoregressive (AR) distance between ARIMA processes are investigated. In particular, the asymptotic distribution of the squared AR distance and an approximation which is computationally efficient are derived. Moreover, the problem of time series clustering and classification is discussed and the performance of the AR distance is illustrated by means of some empirical applications. © 2007 Elsevier B.V. All rights reserved.