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Article

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
Econometrics 2016, 4(3), 32; https://doi.org/10.3390/econometrics4030032
Submission received: 5 May 2016 / Revised: 5 July 2016 / Accepted: 8 July 2016 / Published: 15 July 2016

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.
Keywords: ARMA models; distance; time series; VAR models ARMA models; distance; time series; VAR models

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MDPI and ACS Style

Triacca, U. Measuring the Distance between Sets of ARMA Models. Econometrics 2016, 4, 32. https://doi.org/10.3390/econometrics4030032

AMA Style

Triacca U. Measuring the Distance between Sets of ARMA Models. Econometrics. 2016; 4(3):32. https://doi.org/10.3390/econometrics4030032

Chicago/Turabian Style

Triacca, Umberto. 2016. "Measuring the Distance between Sets of ARMA Models" Econometrics 4, no. 3: 32. https://doi.org/10.3390/econometrics4030032

APA Style

Triacca, U. (2016). Measuring the Distance between Sets of ARMA Models. Econometrics, 4(3), 32. https://doi.org/10.3390/econometrics4030032

Note that from the first issue of 2016, this journal uses article numbers instead of page numbers. See further details here.

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