Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171884
Authors: 
Triacca, Umberto
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 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.
Subjects: 
ARMA models
distance
time series
VAR models
JEL: 
C1
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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