Symbolic ARMA Model Analysis

  • Authors:
  • Keith H. Webb;Lawrence M. Leemis

  • Affiliations:
  • Department of Mathematics, The College of William & Mary, Williamsburg, USA 23187---8795;Department of Mathematics, The College of William & Mary, Williamsburg, USA 23187---8795

  • Venue:
  • Computational Economics
  • Year:
  • 2014

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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.