I have two time series that come from the same system. One is taken from the whole system, and the other is taken from, say, 10% of the system. The two time series have the same frequency. Is there a measure to know how similar these two time series are?
Solved – Compare two time series
cross correlationentropygranger-causalitymutual informationtime series
Best Answer
Permutation Distribution Clustering is a clustering method for time series. Dissimilarity of time series is formalized as the divergence between their permutation distributions. The permutation distribution was proposed as measure of the complexity of a time series.
PDC is available as an R package: http://cran.r-project.org/web/packages/pdc/index.html