Symbolic ARMA Model Analysis

ARMA models provide a parsimonious and flexible mechanism for modeling the evolution of a time series. Some useful measures of these models (e.g., the autocorrelation function or the spectral density function) are tedious to compute by hand. This paper uses a computer algebra system, not simulation, to calculate measures of interest associated with ARMA models. Copyright Springer Science+Business Media New York 2014

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Year of publication:	2014
Authors:	Webb, Keith ; Leemis, Lawrence
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 43.2014, 3, p. 313-330
Publisher:	Society for Computational Economics - SCE
Subject:	Autocorrelation functions \| Computer algebra systems \| Spectral density function \| Time series analysis \| Unit roots analysis

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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