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 ARM...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-07-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/4/3/32 |