Symbolic ARMA Model Analysis

Keith Webb () and Lawrence Leemis ()

Computational Economics, 2014, vol. 43, issue 3, 313-330

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. Copyright Springer Science+Business Media New York 2014

Keywords: Autocorrelation functions; Computer algebra systems; Spectral density function; Time series analysis; Unit roots analysis (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10614-013-9373-z

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