Tagged Questions

2
votes
0answers
102 views

Use of autoregressive metric for ARIMA clustering and analysis

I wonder if anyone has put into use the autoregressive metric for ARIMA clustering proposed by Corduas and Piccolo (2008). The authors define the distance autoregressive metric between two processes ...
3
votes
2answers
229 views

Simple distance measure for financial time series

I have a large quantity of financial trading systems that I believe are highly duplicative, meaning that I believe a large number of the trading systems are essentially the same thing. I am looking ...