Measuring the Distance between Sets of ARMA Models
AbstractA distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of ARMA models or the distance between vector autoregressive (VAR) models. View Full-Text
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Triacca, U. Measuring the Distance between Sets of ARMA Models. Econometrics 2016, 4, 32.
Triacca U. Measuring the Distance between Sets of ARMA Models. Econometrics. 2016; 4(3):32.Chicago/Turabian Style
Triacca, Umberto. 2016. "Measuring the Distance between Sets of ARMA Models." Econometrics 4, no. 3: 32.