time series comparison metric

11 views (last 30 days)
Angela
Angela on 10 Dec 2018
Commented: Angela on 11 Dec 2018
I have two sets of time series (attached in text) and i want to compare them in a quantitative way.
My interest is in showing that the second series is more smooth than the first because
that is what it looks like visually. I am looking for a metric that shows that smoothness.
  4 Comments
Angela
Angela on 11 Dec 2018
Thank you for your answer.

Sign in to comment.

Accepted Answer

Chad Greene
Chad Greene on 10 Dec 2018
The simplest way is just to compare the standard deviations of each signal:
st1 = std(d1);
st2 = std(d2);
Although that approach might be dominated by low frequency variability. So you could go one step fancier just analyze the residuals after removing the moving mean. Pick some window for the moving mean (I'm using 500 below) and then compare the standard deviations:
d1_res = d1 - movmean(d1,500);
d2_res = d2 - movmean(d2,500);
std(d1_res)
std(d2_res)
  1 Comment
Angela
Angela on 11 Dec 2018
Thank you. It worked. I got a nice reduction in the value std(d2_res).

Sign in to comment.

More Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!