The functions in this paper are implemented in the Mathematica package FitARMA. This package requires also the package ARBuild. Both of these packages require Mathematica Version 5.2 or above. To install these packages simply copy them to your Applications directory where Mathematica is installed -- for example on many computers this is:
C:\Program Files\Wolfram Research\Mathematica\5.2\AddOns\Applications
Download these files: FitARMA.m and ARBuild.m
Notebooks which illustrate the use of these packages:
| Input some data from a file and fit some ARMA models |
| Simulate and fit some time series |
| Obtain Mathematica timings for fitting ARMA model |
| Obtain the sample mean efficiency |
| Convergence to normal distribution |