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A Distance Measure For Classifying Arima Models

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  • Domenico Piccolo

Abstract

. In a number of practical problems where clustering or choosing from a set of dynamic structures is needed, the introduction of a distance between the data is an early step in the application of multivariate statistical methods. In this paper a parametric approach is proposed in order to introduce a well‐defined metric on the class of autoregressive integrated moving‐average (ARIMA) invertible models as the Euclidean distance between their autoregressive expansions. Two case studies for clustering economic time series and for assessing the consistency of seasonal adjustment procedures are discussed. Finally, some related proposals are surveyed and some suggestions for further research are made.

Suggested Citation

  • Domenico Piccolo, 1990. "A Distance Measure For Classifying Arima Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(2), pages 153-164, March.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:2:p:153-164
    DOI: 10.1111/j.1467-9892.1990.tb00048.x
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