scientific article; zbMATH DE number 1067783

zbMATH Open0899.62113MaRDI QIDQ4358402FDOQ4358402

Authors: Marcella Corduas 

Publication date: 15 November 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

simulationtime seriesdissimilarityEuclidean distanceautoregressive expansions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• Spectral decomposition of the AR metric
• The autoregressive metric for comparing time series models
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• A run length transformation for discriminating between auto regressive time series
• A comparison between VAR processes jointly modeling GDP and unemployment rate in France and Germany
• A metric for ARMA processes
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
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