The Autoregressive metric for comparing time series models

Domenico Piccolo ()

Statistica, 2010, vol. 70, issue 4, 459-480

Abstract: The Autoregressive metric was firstly introduced in 1983 as a tool for choosing a representative element from a large collection of time series and for clustering temporal data. The proposal has been extended to many contexts and has raised increasing interests in both time series methods and applications. The main results concerning this metric, its asymptotic distribution and some operational and comparative issues are presented. A discussion about the merits of this distance criterion and some caveats about its usage conclude the paper.

Date: 2010
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:70:y:2010:i:4:p:459-480

Access Statistics for this article

Statistica is currently edited by Department of Statistics, University of Bologna

More articles in Statistica from Department of Statistics, University of Bologna Contact information at EDIRC.
Bibliographic data for series maintained by Giovanna Galatà ().