The functions in this paper are implemented in the MathLab toolkit FitARMA. MatLab Version 14 with the Signal Processing Toolkit is required. To install unzip the files below and put them in the path for MatLab M files.
Download this file: FitARMA.zip
The reports illustrate the use of this toolkit:
| 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 |