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
Econometrics 2016, 4(3), 32; https://doi.org/10.3390/econometrics4030032
Received: 5 May 2016 / Revised: 5 July 2016 / Accepted: 8 July 2016 / Published: 15 July 2016
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.
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Keywords:
ARMA models; distance; time series; VAR models
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Triacca, U. Measuring the Distance between Sets of ARMA Models. Econometrics 2016, 4, 32.
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