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Econometrics 2016, 4(3), 32; doi:10.3390/econometrics4030032

Measuring the Distance between Sets of ARMA Models

Department of Computer Engineering, Computer Science and Mathematics, University of L’Aquila, Via Vetoio Coppito, L’Aquila I-67010, Italy
Academic Editor: Kerry Patterson
Received: 5 May 2016 / Revised: 5 July 2016 / Accepted: 8 July 2016 / Published: 15 July 2016
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Abstract

A 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
Keywords: ARMA models; distance; time series; VAR models ARMA models; distance; time series; VAR models
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Triacca, U. Measuring the Distance between Sets of ARMA Models. Econometrics 2016, 4, 32.

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