Measuring the distance between sets of ARMA models

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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Year of publication:	2016
Authors:	Triacca, Umberto
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 4.2016, 3, p. 1-11
Publisher:	Basel : MDPI
Subject:	ARMA models \| distance \| time series \| VAR models

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics4030032 [DOI] 863522106 [GVK] hdl:10419/171884 [Handle]
Classification:	C1 - Econometric and Statistical Methods: General ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011755338