Measuring the Distance between Sets of ARMA Models

Umberto Triacca
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Umberto Triacca: Department of Computer Engineering, Computer Science and Mathematics, University of L’Aquila, Via Vetoio Coppito, L’Aquila I-67010, Italy

Econometrics, 2016, vol. 4, issue 3, 1-11

Abstract: 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.

Keywords: ARMA models; distance; time series; VAR models (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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