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Article
Symbolic ARMA Model Analysis
Computational Economics
  • Keith H. Webb, William & Mary
  • Lawrence Leemis, William & Mary
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
Publisher Statement

This version is the accepted (post-print) version of the manuscript.

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/