Measuring the distance between sets of ARMA models

Umberto Triacca (Department of Computer Engineering, Computer Science and Mathematics, University of L’Aquila)

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:	September 2016
Authors:	Triacca, Umberto
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 4.2016, 3, p. 1-11
Subject:	ARMA models \| distance \| time series \| VAR models \| ARMA-Modell \| ARMA model \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Schätztheorie \| Estimation theory

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/econometrics4030032 [DOI] Department of Computer Engineering, Computer Science and Mathematics, University of L’Aquila, [DOI] hdl:10419/171884 [Handle]
Classification:	C1 - Econometric and Statistical Methods: General ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011506519