IDEAS home Printed from https://ideas.repec.org/r/bla/jtsera/v11y1990i2p153-164.html
   My bibliography  Save this item

A Distance Measure For Classifying Arima Models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Thanh Trung Huynh & Minh Hieu Nguyen & Thanh Tam Nguyen & Phi Le Nguyen & Matthias Weidlich & Quoc Viet Hung Nguyen & Karl Aberer, 2022. "Efficient Integration of Multi-Order Dynamics and Internal Dynamics in Stock Movement Prediction," Papers 2211.07400, arXiv.org, revised Nov 2022.
  2. Pierpaolo D’Urso & Livia Giovanni & Riccardo Massari & Dario Lallo, 2013. "Noise fuzzy clustering of time series by autoregressive metric," METRON, Springer;Sapienza Università di Roma, vol. 71(3), pages 217-243, November.
  3. S. Bandyopadhyay & R. Baragona & U. Maulik, 2010. "Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization," Working Papers 028, COMISEF.
  4. Emma SARNO & Alberto ZAZZARO, 2003. "Structural Convergence of Macroeconomic Time Series: Evidence for Inflation Rates in EU Countries," Working Papers 180, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  5. Richard A. Davis & Leon Fernandes & Konstantinos Fokianos, 2023. "Clustering multivariate time series using energy distance," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 487-504, September.
  6. Mahmoudi, Mohammad Reza, 2021. "A computational technique to classify several fractional Brownian motion processes," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  7. Edoardo Otranto & Romana Gargano, 2015. "Financial clustering in presence of dominant markets," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(3), pages 315-339, September.
  8. B. Lafuente-Rego & P. D’Urso & J. A. Vilar, 2020. "Robust fuzzy clustering based on quantile autocovariances," Statistical Papers, Springer, vol. 61(6), pages 2393-2448, December.
  9. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
  10. Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
  11. Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
  12. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
  13. Umberto Triacca, 2016. "Measuring the Distance between Sets of ARMA Models," Econometrics, MDPI, vol. 4(3), pages 1-11, July.
  14. Pacifico, Antonio, 2020. "Bayesian Fuzzy Clustering with Robust Weighted Distance for Multiple ARIMA and Multivariate Time-Series," MPRA Paper 104379, University Library of Munich, Germany.
  15. Francesca Di Iorio & Umberto Triacca, 2014. "Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test," Econometrics, MDPI, vol. 2(4), pages 1-14, December.
  16. De Gregorio, Alessandro & Maria Iacus, Stefano, 2010. "Clustering of discretely observed diffusion processes," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 598-606, February.
  17. Joseph G. Hirschberg & Esfandiar Maasoumi & Daniel J. Slottje, 2001. "Clusters of attributes and well-being in the USA," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 445-460.
  18. Alonso, A.M. & Berrendero, J.R. & Hernandez, A. & Justel, A., 2006. "Time series clustering based on forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 762-776, November.
  19. Kong, Xiaolin & Ma, Chaoqun & Ren, Yi-Shuai & Narayan, Seema & Nguyen, Thong Trung & Baltas, Konstantinos, 2023. "Changes in the market structure and risk management of Bitcoin and its forked coins," Research in International Business and Finance, Elsevier, vol. 65(C).
  20. Yıldırım, Ertugrul & Sukruoglu, Deniz & Aslan, Alper, 2014. "Energy consumption and economic growth in the next 11 countries: The bootstrapped autoregressive metric causality approach," Energy Economics, Elsevier, vol. 44(C), pages 14-21.
  21. Muhammad Fahad & Arsalan Shahid & Ravi Reddy Manumachu & Alexey Lastovetsky, 2020. "A Novel Statistical Learning-Based Methodology for Measuring the Goodness of Energy Profiles of Applications Executing on Multicore Computing Platforms," Energies, MDPI, vol. 13(15), pages 1-22, August.
  22. Sipan Aslan & Ceylan Yozgatligil & Cem Iyigun, 2018. "Temporal clustering of time series via threshold autoregressive models: application to commodity prices," Annals of Operations Research, Springer, vol. 260(1), pages 51-77, January.
  23. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
  24. Jin, Lei, 2011. "A data-driven test to compare two or multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2183-2196, June.
  25. Cerqueti, Roy & Mattera, Raffaele & Storani, Saverio, 2025. "Systemic resilience of networked commodities," Energy Economics, Elsevier, vol. 143(C).
  26. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
  27. Albino, Andreia & Caiado, Jorge & Crato, Nuno, 2024. "Time series clustering using fragmented autocorrelations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 650(C).
  28. Benny Ren & Ian Barnett, 2022. "Autoregressive mixture models for clustering time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 918-937, November.
  29. Paloma Taltavull de La Paz, 2021. "Predicting housing prices. A long term housing price path for Spanish regions," LARES lares-2021-4dra, Latin American Real Estate Society (LARES).
  30. Gehman, Andrew & Wei, William W.S., 2020. "Optimal spatial aggregation of space–time models and applications," Computational Statistics & Data Analysis, Elsevier, vol. 145(C).
  31. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
  32. Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics 0402009, University Library of Munich, Germany, revised 05 Mar 2004.
  33. E. Otranto, 2024. "A Vector Multiplicative Error Model with Spillover Effects and Co-movements," Working Paper CRENoS 202404, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  34. Raffaele Mattera & Philipp Otto, 2023. "Network log-ARCH models for forecasting stock market volatility," Papers 2303.11064, arXiv.org.
  35. repec:osf:osfxxx:cvjnx_v1 is not listed on IDEAS
  36. Mei Sang & Jing Jiang & Xin Huang & Feifei Zhu & Qian Wang, 2024. "Spatial and temporal changes in population distribution and population projection at county level in China," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-13, December.
  37. S. Yaser Samadi & L. Billard & M. R. Meshkani & A. Khodadadi, 2017. "Canonical correlation for principal components of time series," Computational Statistics, Springer, vol. 32(3), pages 1191-1212, September.
  38. Daria Mendola & Raffaele Scuderi & Valerio Lacagnina, 2013. "Defining and measuring the development of a country over time: a proposal of a new index," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(5), pages 2473-2494, August.
  39. D’Urso, Pierpaolo & Cappelli, Carmela & Di Lallo, Dario & Massari, Riccardo, 2013. "Clustering of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2114-2129.
  40. Kumar, Mahesh & Patel, Nitin R., 2007. "Clustering data with measurement errors," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6084-6101, August.
  41. Caiado, Jorge & Crato, Nuno, 2005. "Discrimination between deterministic trend and stochastic trend processes," MPRA Paper 2076, University Library of Munich, Germany.
  42. Galeano, Pedro & Peña, Daniel, 2001. "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS ws012415, Universidad Carlos III de Madrid. Departamento de Estadística.
  43. Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.
  44. Lucio Palazzo & Riccardo Ievoli, 2023. "Detecting Regional Differences in Italian Health Services during Five COVID-19 Waves," Stats, MDPI, vol. 6(2), pages 1-13, April.
  45. Raffaele Mattera & George Athanasopoulos & Rob Hyndman, 2024. "Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering," Quantitative Finance, Taylor & Francis Journals, vol. 24(11), pages 1641-1667, November.
  46. E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  47. F. Lisi & E. Otranto, 2008. "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS 200813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  48. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
  49. Mattera, Raffaele & Franses, Philip Hans, 2025. "Forecasting house price growth rates with factor models and spatio-temporal clustering," International Journal of Forecasting, Elsevier, vol. 41(1), pages 398-417.
  50. Francesca Di Iorio & Umberto Triacca, 2022. "A comparison between VAR processes jointly modeling GDP and Unemployment rate in France and Germany," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 617-635, September.
  51. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4685-4698, June.
  52. Wang, Shenhao & Zhao, Jinhua, 2018. "Divergent Trajectories of Urban Development in 287 Chinese Cities," OSF Preprints cvjnx, Center for Open Science.
  53. Liu, Shen & Maharaj, Elizabeth Ann, 2013. "A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 32-49.
  54. Jorge Caiado & Nuno Crato & Pilar Poncela, 2020. "A fragmented-periodogram approach for clustering big data time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 14(1), pages 117-146, March.
  55. Roy Cerqueti & Raffaele Mattera & Saverio Storani, 2025. "Systemic resilience of networked commodities," Post-Print hal-05109120, HAL.
  56. Vilar, J.A. & Alonso, A.M. & Vilar, J.M., 2010. "Non-linear time series clustering based on non-parametric forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2850-2865, November.
  57. Margherita Gerolimetto & Stefano Magrini, 2022. "Weighting in clustering time series: an application to Covid-19 data," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 76(4), pages 4-12, October-D.
  58. Sonia Díaz & José Vilar, 2010. "Comparing Several Parametric and Nonparametric Approaches to Time Series Clustering: A Simulation Study," Journal of Classification, Springer;The Classification Society, vol. 27(3), pages 333-362, November.
  59. Qingliang Zhao & Junji Chen & Xiaobin Feng & Yiduo Wang, 2024. "A Novel Bézier LSTM Model: A Case Study in Corn Analysis," Mathematics, MDPI, vol. 12(15), pages 1-21, July.
  60. Triacca, Umberto, 2004. "Feedback, causality and distance between arma models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(6), pages 679-685.
  61. Igor L. R. Azevedo & Toyotaro Suzumura, 2024. "From Votes to Volatility Predicting the Stock Market on Election Day," Papers 2412.11192, arXiv.org.
  62. João A. Bastos & Jorge Caiado, 2021. "On the classification of financial data with domain agnostic features," Working Papers REM 2021/0185, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  63. Roy Cerqueti & Pierpaolo D’Urso & Livia Giovanni & Raffaele Mattera & Vincenzina Vitale, 2024. "Fuzzy clustering of time series based on weighted conditional higher moments," Computational Statistics, Springer, vol. 39(6), pages 3091-3114, September.
  64. Juan Vilar & José Vilar & Sonia Pértega, 2009. "Classifying Time Series Data: A Nonparametric Approach," Journal of Classification, Springer;The Classification Society, vol. 26(1), pages 3-28, April.
  65. Giulio Palomba & Emma Sarno & Alberto Zazzaro, 2009. "Testing similarities of short-run inflation dynamics among EU-25 countries after the Euro," Empirical Economics, Springer, vol. 37(2), pages 231-270, October.
  66. Daniel Peña & Ruey S. Tsay, 2023. "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 667-685, September.
  67. Di Iorio, Francesca & Triacca, Umberto, 2013. "Testing for Granger non-causality using the autoregressive metric," Economic Modelling, Elsevier, vol. 33(C), pages 120-125.
  68. Roberto Baragona & Francesco Battaglia & Claudio Calzini, 2001. "Clustering of time series with genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 111-128.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.