Document Type

Article

Department/Program

Mathematics

Journal Title

Computational Economics

Pub Date

3-2014

Publisher

Springer

Volume

43

Issue

3

First Page

313

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.

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