Skip to main content
SpringerLink
Log in

Symbolic ARMA Model Analysis

  • Published:
Computational Economics Aims and scope Submit manuscript

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

Notes

  1. The extension can be downloaded from http://www.math.wm.edu/~leemis/TSAPPL.txt and APPL can be downloaded from http://applsoftware.com/

References

  • Box, G., & Jenkins, G. (1994). Time series analysis: Forecasting & control (3rd ed.). Upper Saddle River, NJ: Prentice Hall.

    Google Scholar 

  • Glen, A. G., Evans, D. L., & Leemis, L. M. (2001). APPL: A probability programming language. The American Statistician, 55(2), 156–166.

    Article  Google Scholar 

  • Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.

    Google Scholar 

  • Woodward, W. A., & Gray, H. L. (1981). On the relationship between the S array and the Box–Jenkins method of ARMA model identification. Journal of the American Statistical Association, 76(375), 579–587.

    Article  Google Scholar 

Download references

Acknowledgments

This research is partially supported by an NSF CSUMS Grant DMS–0703532 at the College of William & Mary.

Author information

Authors and Affiliations

  1. Department of Mathematics, The College of William & Mary, Williamsburg, VA, 23187–8795, USA

    Keith H. Webb & Lawrence M. Leemis

Authors
  1. Keith H. Webb
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Lawrence M. Leemis
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Lawrence M. Leemis.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Webb, K.H., Leemis, L.M. Symbolic ARMA Model Analysis. Comput Econ 43, 313–330 (2014). https://doi.org/10.1007/s10614-013-9373-z

Download citation

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10614-013-9373-z

Keywords

Search

Navigation