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 |
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Article |
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doaj-8db20a5607884397be9c89106c61ef622020-11-25T00:18:59ZengMDPI AGEconometrics2225-11462016-07-01433210.3390/econometrics4030032econometrics4030032Measuring the Distance between Sets of ARMA ModelsUmberto Triacca0Department of Computer Engineering, Computer Science and Mathematics, University of L’Aquila, Via Vetoio Coppito, L’Aquila I-67010, ItalyA 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.http://www.mdpi.com/2225-1146/4/3/32ARMA modelsdistancetime seriesVAR models |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Umberto Triacca |
| spellingShingle |
Umberto Triacca Measuring the Distance between Sets of ARMA Models Econometrics ARMA models distance time series VAR models |
| author_facet |
Umberto Triacca |
| author_sort |
Umberto Triacca |
| title |
Measuring the Distance between Sets of ARMA Models |
| title_short |
Measuring the Distance between Sets of ARMA Models |
| title_full |
Measuring the Distance between Sets of ARMA Models |
| title_fullStr |
Measuring the Distance between Sets of ARMA Models |
| title_full_unstemmed |
Measuring the Distance between Sets of ARMA Models |
| title_sort |
measuring the distance between sets of arma models |
| publisher |
MDPI AG |
| series |
Econometrics |
| issn |
2225-1146 |
| publishDate |
2016-07-01 |
| description |
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. |
| topic |
ARMA models distance time series VAR models |
| url |
http://www.mdpi.com/2225-1146/4/3/32 |
| work_keys_str_mv |
AT umbertotriacca measuringthedistancebetweensetsofarmamodels |
| _version_ |
1725374097380081664 |