Econometrics 2016, 4(3), 32; https://doi.org/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
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-TextKeywords:
ARMA models; distance; time series; VAR models
▼
Figures
Figure 1
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).
Share & Cite This Article
MDPI and ACS Style
Triacca, U. Measuring the Distance between Sets of ARMA Models. Econometrics 2016, 4, 32.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.
Related Articles
Article Metrics
Comments
[Return to top]
Econometrics
EISSN 2225-1146
Published by MDPI AG, Basel, Switzerland
RSS
E-Mail Table of Contents Alert