The functions in this paper are implemented in the Mathematica package FitARMA. This package requires also the package FitAR. 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 Mathematica Package files: FitARMA.m and FitAR.m
| Proof n ≥ 2p. Notebook, PDF, excerpt from Champernowne (1948) |
| Kullback-Leibler Divergence: ARMA Notebook. Fractionally Differenced White Noise Notebook |
| Relative efficiencies of Durbin and Faster in MA(1): notebook |
| Exact finite sample efficiency of the sample mean: notebook |
| Timings for ARMA(1,1): notebook |
| Variance of the estimated efficiency in simulation experiments: notebook |
| Fit ARMA model to Series A: notebook |
| Simulate and fit a time series: notebook |