time series comparison metric
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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.
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);