Measuring the Distance between Sets of ARMA Models
نویسندگان
چکیده
منابع مشابه
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 ARMA models or the distance between vector autoregressive (VAR) models.
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ژورنال
عنوان ژورنال: Econometrics
سال: 2016
ISSN: 2225-1146
DOI: 10.3390/econometrics4030032