Article
Symbolic ARMA Model Analysis
Computational Economics
Document Type
Article
Department/Program
Mathematics
Pub Date
3-1-2014
Publisher
Springer
Abstract
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.
DOI
https://doi.org/10.1007/s10614-013-9373-z
Disciplines
Citation Information
Keith H. Webb and Lawrence Leemis. "Symbolic ARMA Model Analysis" Computational Economics Vol. 43 Iss. 3 (2014) p. 313 - 330 Available at: http://works.bepress.com/lawrence-leemis/2/
This version is the accepted (post-print) version of the manuscript.