Measuring the Distance between Sets of ARMA Models
Measuring the Distance between Sets of ARMA Models
复制标题
测量 ARMA 模型组之间的距离
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
U. Triacca
中科院分区：
文献类型：
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作者：
U. Triacca
提出了自回归滑动平均（阿尔马）过程集对间的距离。讨论了它的主要性质。本文还展示了如何提出的距离发现应用于时间序列分析。特别地，它可以用于评估阿尔马模型的投资组合之间的距离或向量自回归（VAR）模型之间的距离。
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.